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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Taleb, Nassim Nicholas, 1960- (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Capital Markets Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2012.
Colección:IMF working paper ; WP/12/216.
Temas:
Acceso en línea:Texto completo
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por Taleb, Nassim Nicholas, 1960-
Publicado 2012
Texto completo
Electrónico eBook