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150128 ||| eng |
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|a 9781475505665
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| 100 |
1 |
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|a Schmieder, Christian
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| 245 |
0 |
0 |
|a A New Heuristic Measure of Fragility and Tail Risks
|b Application to Stress Testing
|c Christian Schmieder, Tidiane Kinda, Nassim Taleb, Elena Loukoianova, Elie Canetti
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2012
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| 300 |
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|a 24 pages
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| 651 |
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4 |
|a United States
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| 653 |
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|a Credit
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| 653 |
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|a Public debt
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| 653 |
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|a Income
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| 653 |
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|a Banks
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| 653 |
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|a Finance
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| 653 |
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|a Public finance & taxation
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| 653 |
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|a Banks and banking
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| 653 |
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|a Financial sector policy and analysis
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| 653 |
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|a Personal income
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| 653 |
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|a Debts, Public
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| 653 |
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|a Solvency stress testing
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| 653 |
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|a Mortgages
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| 653 |
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|a Personal Income, Wealth, and Their Distributions
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| 653 |
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|a National accounts
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| 653 |
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|a Money
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| 653 |
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|a Financial risk management
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| 653 |
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|a Financial Institutions and Services: General
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| 653 |
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|a Macroeconomics
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| 653 |
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|a Banking
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| 653 |
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|a Depository Institutions
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| 653 |
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|a Monetary economics
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| 653 |
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|a Debt Management
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| 653 |
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|a Micro Finance Institutions
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| 653 |
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|a Monetary Policy, Central Banking, and the Supply of Money and Credit: General
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| 653 |
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|a Debt
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| 653 |
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|a Financial Institutions and Services: Government Policy and Regulation
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| 653 |
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|a General Financial Markets: General (includes Measurement and Data)
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| 653 |
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|a Sovereign Debt
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Public Finance
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| 653 |
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|a Money and Monetary Policy
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| 653 |
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|a Finance: General
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| 653 |
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|a Stress testing
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| 700 |
1 |
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|a Canetti, Elie
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| 700 |
1 |
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|a Kinda, Tidiane
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| 700 |
1 |
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|a Loukoianova, Elena
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
0 |
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|a IMF Working Papers
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| 028 |
5 |
0 |
|a 10.5089/9781475505665.001
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| 856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2012/216/001.2012.issue-216-en.xml?cid=26222-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
0 |
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|a 330
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| 520 |
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|a This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be misleading in the presence of model error and the uncertainty attending parameters and their estimation. The heuristic can be seen as a second order stress test to detect nonlinearities in the tails that can lead to fragility, i.e., provide additional information on the robustness of stress tests. It also shows how the measure can be used to assess the robustness of public debt forecasts, an important issue in many countries. The heuristic measure outlined here can be used in a variety of situations to ascertain an ordinal ranking of fragility to tail risks
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