|
|
|
|
| LEADER |
02084cas a2200277 a 4500 |
| 001 |
AALejournalIMF012124 |
| 008 |
230101c9999 xx r poo 0 0eng d |
| 020 |
|
|
|c 5.00 USD
|
| 020 |
|
|
|z 9781475505665
|
| 022 |
|
|
|a 1018-5941
|
| 040 |
|
|
|a BD-DhAAL
|c BD-DhAAL
|
| 100 |
1 |
|
|a Schmieder, Christian.
|
| 245 |
1 |
2 |
|a A New Heuristic Measure of Fragility and Tail Risks :
|b Application to Stress Testing /
|c Christian Schmieder, Tidiane Kinda, Nassim Taleb, Elena Loukoianova.
|
| 264 |
|
1 |
|a Washington, D.C. :
|b International Monetary Fund,
|c 2012.
|
| 300 |
|
|
|a 1 online resource (24 pages)
|
| 490 |
1 |
|
|a IMF Working Papers
|
| 500 |
|
|
|a <strong>Off-Campus Access:</strong> No User ID or Password Required
|
| 500 |
|
|
|a <strong>On-Campus Access:</strong> No User ID or Password Required
|
| 506 |
|
|
|a Electronic access restricted to authorized BRAC University faculty, staff and students
|
| 520 |
3 |
|
|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, id est, 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.
|
| 538 |
|
|
|a Mode of access: Internet
|
| 700 |
1 |
|
|a Kinda, Tidiane.
|
| 700 |
1 |
|
|a Loukoianova, Elena.
|
| 700 |
1 |
|
|a Taleb, Nassim.
|
| 830 |
|
0 |
|a IMF Working Papers; Working Paper ;
|v No. 2012/216
|
| 856 |
4 |
0 |
|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2012/216/001.2012.issue-216-en.xml
|z IMF e-Library
|