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Record Nr. |
UNINA9910462259703321 |
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Autore |
Taleb Nassim Nicholas <1960-> |
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Titolo |
A new heuristic measure of fragility and tail risks [[electronic resource] ] : application to stress testing / / Nassim N. Taleb ... [et al.] |
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Pubbl/distr/stampa |
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Washington, D.C., : International Monetary Fund, c2012 |
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ISBN |
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1-4755-7073-2 |
1-4755-1497-2 |
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Descrizione fisica |
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1 online resource (25 p.) |
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Collana |
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IMF working paper ; ; WP/12/216 |
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Soggetti |
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Heuristic |
Financial crises |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Cover; Contents; I. Introduction; II. Review of Concepts to Assess Fragility; A. The Current State of Stress Testing; B. A Simple Heuristic to Detect Fragility; Figures; 1. Why the Concave is Hurt by Tail Events; C. How Can the Simple Heuristic Enhance Stress Tests?; III. The Heuristic Applied to the Outcome of Stress Tests; A. Purpose for the Use of the Heuristic; 2. Illustration of the Use of the Heuristic; 3. Fragile and Antifragile Outcomes of Stress Tests; B. Case Study I: The Simple Heuristic Applied to Bank Stress Tests; Tables |
1. The Heuristic Applied to the Outcome of Macroeconomic Stress Tests for the Largest U.S. BanksC. Case Study II: The Simple Heuristic Applied to Public Debt; 2. Overall Fragility of Banks; 3. Change in Net Debt Under Various Scenarios; IV. How to Apply the Simple Heuristic in IMF Stress Tests; 4. Illustration of Debt Dynamics Under Various Scenarios; 5. The Simple Heuristic as an Integral Part of Stress Test Frameworks; V. Conclusion; Appendices; I. Details on Macroeconomic Bank Stress Test; II. Details on Public Debt Stress Test; References |
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Sommario/riassunto |
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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 |
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