00992nam0-22003251i-450-99000562939040332120070920101741.00691039364000562939FED01000562939(Aleph)000562939FED0100056293919990604d1979----km-y0itay50------baengUSf-------001yyAbbot Suger on the Abbey Church of St. Denis and its art treasuresa cura di Erwin Panofsky2. edPrincetonUniversity press1979XIX, 285 p., 24 tav.ill.24 cm726.5Sugerius<abate di Saint Denis>422564Panofsky,Erwin<1892-1968>ITUNINARICAUNIMARCBK990005629390403321726.5 SUG 1ST.ARTE 13887FLFBCFLFBCAbbot Suger on the Abbey Church of St. Denis and its art treasures604272UNINA06736oam 22014414 450 991078648600332120230801225335.01-4755-7073-21-4755-1497-2(CKB)2670000000278913(EBL)1606958(SSID)ssj0000942946(PQKBManifestationID)11505576(PQKBTitleCode)TC0000942946(PQKBWorkID)10975468(PQKB)11112763(MiAaPQ)EBC1606958(Au-PeEL)EBL1606958(CaPaEBR)ebr10627134(OCoLC)870245000(IMF)WPIEE2012216(IMF)WPIEA2012216(EXLCZ)99267000000027891320020129d2012 uf 0engur|n|---|||||txtccrA New Heuristic Measure of Fragility and Tail Risks : Application to Stress Testing /Christian Schmieder, Tidiane Kinda, Nassim Taleb, Elena Loukoianova, Elie CanettiWashington, D.C. :International Monetary Fund,2012.1 online resource (25 p.)IMF Working PapersIMF working paper ;WP/12/216Description based upon print version of record.1-4755-9565-4 1-4755-0566-3 Includes bibliographical references.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; Tables1. 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; ReferencesThis 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.IMF Working Papers; Working Paper ;No. 2012/216HeuristicFinancial crisesBanks and BankingimfFinance: GeneralimfMacroeconomicsimfMoney and Monetary PolicyimfPublic FinanceimfGeneral Financial Markets: General (includes Measurement and Data)imfFinancial Institutions and Services: GeneralimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinancial Institutions and Services: Government Policy and RegulationimfPersonal Income, Wealth, and Their DistributionsimfDebtimfDebt ManagementimfSovereign DebtimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfFinanceimfBankingimfPublic finance & taxationimfMonetary economicsimfStress testingimfPersonal incomeimfPublic debtimfCreditimfFinancial sector policy and analysisimfNational accountsimfMoneyimfSolvency stress testingimfFinancial risk managementimfBanks and bankingimfIncomeimfDebts, PublicimfUnited StatesimfHeuristic.Financial crises.Banks and BankingFinance: GeneralMacroeconomicsMoney and Monetary PolicyPublic FinanceGeneral Financial Markets: General (includes Measurement and Data)Financial Institutions and Services: GeneralBanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinancial Institutions and Services: Government Policy and RegulationPersonal Income, Wealth, and Their DistributionsDebtDebt ManagementSovereign DebtMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralFinanceBankingPublic finance & taxationMonetary economicsStress testingPersonal incomePublic debtCreditFinancial sector policy and analysisNational accountsMoneySolvency stress testingFinancial risk managementBanks and bankingIncomeDebts, PublicSchmieder Christian1070721Kinda Tidiane1536607Taleb Nassim448102Loukoianova Elena1472666Canetti Elie1578662DcWaIMFBOOK9910786486003321A New Heuristic Measure of Fragility and Tail Risks3858247UNINA