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A new heuristic measure of fragility and tail risks : application to stress testing /
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 mis...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
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| Colección: | IMF working paper ;
WP/12/216. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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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| Notas: | Title from PDF title page (IMF Web site, viewed August 31, 2012). "Monetary and Capital Markets Department." "September 2012." |
| Descripción Física: | 1 online resource (24 pages) |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 9781475595659 1475595654 1475505663 9781475505665 1475514972 9781475514971 1475570732 9781475570731 |