A New Heuristic Measure of Fragility and Tail Risks : : Application to Stress Testing / / Christian Schmieder, Tidiane Kinda, Nassim Taleb, Elena Loukoianova, Elie Canetti

• Autore: Schmieder Christian
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2012
• Descrizione fisica: 1 online resource (25 p.)
• Soggetto topico: Heuristic; Financial crises; Banks and Banking; Finance: General; Macroeconomics; Money and Monetary Policy; Public Finance; General Financial Markets: General (includes Measurement and Data); Financial Institutions and Services: General; Banks; Depository Institutions; Micro Finance Institutions; Mortgages; Financial Institutions and Services: Government Policy and Regulation; Personal Income, Wealth, and Their Distributions; Debt; Debt Management; Sovereign Debt; Monetary Policy, Central Banking, and the Supply of Money and Credit: General; Finance; Banking; Public finance & taxation; Monetary economics; Stress testing; Personal income; Public debt; Credit; Financial sector policy and analysis; National accounts; Money; Solvency stress testing; Financial risk management; Banks and banking; Income; Debts, Public
• Soggetto geografico: United States
• Altri autori: KindaTidiane TalebNassim LoukoianovaElena CanettiElie
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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
• Sommario/riassunto: 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 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.
• Titolo autorizzato: A New Heuristic Measure of Fragility and Tail Risks
• ISBN: 1-4755-7073-2; 1-4755-1497-2
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910786486003321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2012/216