LEADER 00902nam a2200265 i 4500 001 991003876399707536 005 20020506110139.0 008 010510s1976 it ||| | ita 035 $ab10567008-39ule_inst 035 $aEXGIL128384$9ExL 040 $aDip.to Filol. Ling. e Lett.$bita 082 0 $a410.8 100 1 $aDevoto, Giacomo$0638 245 10$aPer Giacomo Devoto 260 $aFirenze :$bAccademia della Crusca,$c1976 300 $a66 p. :$b1 tav. :$b1 ritr. ;$c24 cm. 500 $aScritti di vari. 650 4$aDevoto, Giacomo 650 4$aLinguistica$xSaggi 907 $a.b10567008$b21-09-06$c27-06-02 912 $a991003876399707536 945 $aLE008 FL.M. (f.r.) XXII C 237$g1$i2008000031718$lle008$o-$pE0.00$q-$rl$s- $t0$u0$v0$w0$x0$y.i10649992$z27-06-02 996 $aPer Giacomo Devoto$9236047 997 $aUNISALENTO 998 $ale008$b01-01-01$cm$da $e-$fita$git $h0$i1 LEADER 06917oam 22015254 450 001 9910961754603321 005 20250426110533.0 010 $a9781475570731 010 $a1475570732 010 $a9781475514971 010 $a1475514972 035 $a(CKB)2670000000278913 035 $a(EBL)1606958 035 $a(SSID)ssj0000942946 035 $a(PQKBManifestationID)11505576 035 $a(PQKBTitleCode)TC0000942946 035 $a(PQKBWorkID)10975468 035 $a(PQKB)11112763 035 $a(Au-PeEL)EBL1606958 035 $a(CaPaEBR)ebr10627134 035 $a(OCoLC)870245000 035 $a(IMF)WPIEE2012216 035 $a(IMF)WPIEA2012216 035 $a(MiAaPQ)EBC1606958 035 $aWPIEA2012216 035 $a(EXLCZ)992670000000278913 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 12$aA New Heuristic Measure of Fragility and Tail Risks : $eApplication to Stress Testing /$fChristian Schmieder, Tidiane Kinda, Nassim Taleb, Elena Loukoianova, Elie Canetti 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (25 p.) 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/12/216 300 $aDescription based upon print version of record. 311 08$a9781475595659 311 08$a1475595654 311 08$a9781475505665 311 08$a1475505663 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 3 $aThis paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to public debt. Stress testing can be seen as a first order test of the level of potential negative outcomes in response to tail shocks. However, the results of stress testing can be misleading in the presence of model error and the uncertainty attending parameters and their estimation. The heuristic can be seen as a second order stress test to detect nonlinearities in the tails that can lead to fragility, i.e., provide additional information on the robustness of stress tests. It also shows how the measure can be used to assess the robustness of public debt forecasts, an important issue in many countries. The heuristic measure outlined here can be used in a variety of situations to ascertain an ordinal ranking of fragility to tail risks. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/216 606 $aHeuristic 606 $aFinancial crises 606 $aBanking$2imf 606 $aBanks and Banking$2imf 606 $aBanks and banking$2imf 606 $aBanks$2imf 606 $aCredit$2imf 606 $aDebt Management$2imf 606 $aDebt$2imf 606 $aDebts, Public$2imf 606 $aDepository Institutions$2imf 606 $aFinance$2imf 606 $aFinance: General$2imf 606 $aFinancial Institutions and Services: General$2imf 606 $aFinancial Institutions and Services: Government Policy and Regulation$2imf 606 $aFinancial risk management$2imf 606 $aFinancial sector policy and analysis$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aIncome$2imf 606 $aMacroeconomics$2imf 606 $aMicro Finance Institutions$2imf 606 $aMonetary economics$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aMoney and Monetary Policy$2imf 606 $aMoney$2imf 606 $aMortgages$2imf 606 $aNational accounts$2imf 606 $aPersonal income$2imf 606 $aPersonal Income, Wealth, and Their Distributions$2imf 606 $aPublic debt$2imf 606 $aPublic finance & taxation$2imf 606 $aPublic Finance$2imf 606 $aSolvency stress testing$2imf 606 $aSovereign Debt$2imf 606 $aStress testing$2imf 607 $aUnited States$2imf 615 0$aHeuristic. 615 0$aFinancial crises. 615 7$aBanking 615 7$aBanks and Banking 615 7$aBanks and banking 615 7$aBanks 615 7$aCredit 615 7$aDebt Management 615 7$aDebt 615 7$aDebts, Public 615 7$aDepository Institutions 615 7$aFinance 615 7$aFinance: General 615 7$aFinancial Institutions and Services: General 615 7$aFinancial Institutions and Services: Government Policy and Regulation 615 7$aFinancial risk management 615 7$aFinancial sector policy and analysis 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aIncome 615 7$aMacroeconomics 615 7$aMicro Finance Institutions 615 7$aMonetary economics 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aMoney and Monetary Policy 615 7$aMoney 615 7$aMortgages 615 7$aNational accounts 615 7$aPersonal income 615 7$aPersonal Income, Wealth, and Their Distributions 615 7$aPublic debt 615 7$aPublic finance & taxation 615 7$aPublic Finance 615 7$aSolvency stress testing 615 7$aSovereign Debt 615 7$aStress testing 676 $a332.1 700 $aSchmieder$b Christian$01070721 701 $aCanetti$b Elie$01816359 701 $aKinda$b Tidiane$01816360 701 $aLoukoianova$b Elena$01816361 701 $aTaleb$b Nassim$0448102 801 0$bDcWaIMF 906 $aBOOK 912 $a9910961754603321 996 $aA New Heuristic Measure of Fragility and Tail Risks$94372389 997 $aUNINA