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Biblioteca

MARC Lista (tabellare)
A New Heuristic Measure of Fragility and Tail Risks : : Application to Stress Testing / / Christian Schmieder, Tidiane Kinda, Nassim Taleb, Elena Loukoianova, Elie Canetti
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
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2012
Descrizione fisica 1 online resource (25 p.)
Altri autori (Persone) KindaTidiane
TalebNassim
LoukoianovaElena
CanettiElie
Collana IMF Working Papers
IMF working paper
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
ISBN 1-4755-7073-2
1-4755-1497-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
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
Record Nr. UNINA-9910786486003321
Schmieder Christian  
Washington, D.C. : , : International Monetary Fund, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
A New Heuristic Measure of Fragility and Tail Risks : : Application to Stress Testing / / Christian Schmieder, Tidiane Kinda, Nassim Taleb, Elena Loukoianova, Elie Canetti
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
Edizione [1st ed.]
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2012
Descrizione fisica 1 online resource (25 p.)
Disciplina 332.1
Altri autori (Persone) KindaTidiane
TalebNassim
LoukoianovaElena
CanettiElie
Collana IMF Working Papers
IMF working paper
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
ISBN 1-4755-7073-2
1-4755-1497-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
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
Record Nr. UNINA-9910811407803321
Schmieder Christian  
Washington, D.C. : , : International Monetary Fund, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui