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100   $a20121206d2012      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 12$aA new heuristic measure of fragility and tail risks$b[electronic resource] $eapplication to stress testing /$fNassim N. Taleb ... [et al.]
210   $aWashington, D.C. $cInternational Monetary Fund$dc2012
215   $a1 online resource (25 p.)
225  0$aIMF working paper ;$vWP/12/216
300   $aDescription based upon print version of record.
311   $a1-4755-9565-4 
311   $a1-4755-0566-3 
320   $aIncludes bibliographical references.
327   $aCover; 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
327   $a1. 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
330   $aThis paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be misleading in the presence of model error and the uncertainty attending parameters and their estimation. The heuristic can be seen as a second order stress test to detect nonlinearities in the tails that can lead to fragility, i.e., provide additional information on the robustness of stress tests.  It
410  0$aIMF working paper ;$vWP/12/216.
606   $aHeuristic
606   $aFinancial crises
608   $aElectronic books.
615  0$aHeuristic.
615  0$aFinancial crises.
700   $aTaleb$b Nassim Nicholas$f1960-$0448102
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910462259703321
996   $aA new heuristic measure of fragility and tail risks$92582691
997   $aUNINA