A new heuristic measure of fragility and tail risks :: application to stress testing /
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 mis...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Schriftenreihe: | IMF working paper ;
WP/12/216. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed August 31, 2012). "Monetary and Capital Markets Department." "September 2012." |
| Beschreibung: | 1 online resource (24 pages) |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781475595659 1475595654 1475505663 9781475505665 1475514972 9781475514971 1475570732 9781475570731 |
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| 245 | 0 | 2 | |a A new heuristic measure of fragility and tail risks : |b application to stress testing / |c prepared by Nassim N. Taleb [and others]. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
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| 500 | |a Title from PDF title page (IMF Web site, viewed August 31, 2012). | ||
| 500 | |a "Monetary and Capital Markets Department." | ||
| 500 | |a "September 2012." | ||
| 504 | |a Includes bibliographical references. | ||
| 520 | |a 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. | ||
| 505 | 0 | |a 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. | |
| 505 | 8 | |a 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. | |
| 546 | |a English. | ||
| 650 | 0 | |a Banks and banking |x Mathematical models. | |
| 650 | 0 | |a Banks and banking |x Forecasting. | |
| 650 | 0 | |a Debts, Public |x Mathematical models. | |
| 650 | 0 | |a Debts, Public |x Forecasting. | |
| 650 | 6 | |a Dettes publiques |x Modèles mathématiques. | |
| 650 | 6 | |a Dettes publiques |x Prévision. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Banks and banking |x Forecasting |2 fast | |
| 650 | 7 | |a Banks and banking |x Mathematical models |2 fast | |
| 650 | 7 | |a Debts, Public |x Mathematical models |2 fast | |
| 700 | 1 | |a Taleb, Nassim Nicholas, |d 1960- |e author. |1 https://id.oclc.org/worldcat/entity/E39PBJrwW8y3VgTDPbmxyVrTHC |0 http://id.loc.gov/authorities/names/n96074723 | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. |0 http://id.loc.gov/authorities/names/no2006113696 | |
| 758 | |i has work: |a A new heuristic measure of fragility and tail risks (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGkD8Tq4QHdv4BvwCrCqgq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Schmieder, Christian. |t A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing. |d Washington : International Monetary Fund, ©2012 |z 9781475505665 |
| 830 | 0 | |a IMF working paper ; |v WP/12/216. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| adam_text | |
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| author | Taleb, Nassim Nicholas, 1960- |
| author_GND | http://id.loc.gov/authorities/names/n96074723 |
| author_corporate | International Monetary Fund. Monetary and Capital Markets Department |
| author_corporate_role | |
| author_facet | Taleb, Nassim Nicholas, 1960- International Monetary Fund. Monetary and Capital Markets Department |
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| author_sort | Taleb, Nassim Nicholas, 1960- |
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| contents | 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. |
| ctrlnum | (OCoLC)808811760 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1/52 |
| dewey-search | 332.1/52 |
| dewey-sort | 3332.1 252 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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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.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">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. 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| id | ZDB-4-EBA-ocn808811760 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:24:55Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/no2006113696 |
| isbn | 9781475595659 1475595654 1475505663 9781475505665 1475514972 9781475514971 1475570732 9781475570731 |
| language | English |
| oclc_num | 808811760 |
| open_access_boolean | |
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| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (24 pages) |
| psigel | ZDB-4-EBA |
| publishDate | 2012 |
| publishDateSearch | 2012 |
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| publisher | International Monetary Fund, |
| record_format | marc |
| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | A new heuristic measure of fragility and tail risks : application to stress testing / prepared by Nassim N. Taleb [and others]. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (24 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 data file IMF working paper ; WP/216 Title from PDF title page (IMF Web site, viewed August 31, 2012). "Monetary and Capital Markets Department." "September 2012." Includes bibliographical references. 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. 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. English. Banks and banking Mathematical models. Banks and banking Forecasting. Debts, Public Mathematical models. Debts, Public Forecasting. Dettes publiques Modèles mathématiques. Dettes publiques Prévision. BUSINESS & ECONOMICS Finance. bisacsh Banks and banking Forecasting fast Banks and banking Mathematical models fast Debts, Public Mathematical models fast Taleb, Nassim Nicholas, 1960- author. https://id.oclc.org/worldcat/entity/E39PBJrwW8y3VgTDPbmxyVrTHC http://id.loc.gov/authorities/names/n96074723 International Monetary Fund. Monetary and Capital Markets Department. http://id.loc.gov/authorities/names/no2006113696 has work: A new heuristic measure of fragility and tail risks (Text) https://id.oclc.org/worldcat/entity/E39PCGkD8Tq4QHdv4BvwCrCqgq https://id.oclc.org/worldcat/ontology/hasWork Print version: Schmieder, Christian. A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing. Washington : International Monetary Fund, ©2012 9781475505665 IMF working paper ; WP/12/216. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568120 Volltext |
| spellingShingle | Taleb, Nassim Nicholas, 1960- A new heuristic measure of fragility and tail risks : application to stress testing / IMF working paper ; 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. Banks and banking Mathematical models. Banks and banking Forecasting. Debts, Public Mathematical models. Debts, Public Forecasting. Dettes publiques Modèles mathématiques. Dettes publiques Prévision. BUSINESS & ECONOMICS Finance. bisacsh Banks and banking Forecasting fast Banks and banking Mathematical models fast Debts, Public Mathematical models fast |
| title | A new heuristic measure of fragility and tail risks : application to stress testing / |
| title_auth | A new heuristic measure of fragility and tail risks : application to stress testing / |
| title_exact_search | A new heuristic measure of fragility and tail risks : application to stress testing / |
| title_full | A new heuristic measure of fragility and tail risks : application to stress testing / prepared by Nassim N. Taleb [and others]. |
| title_fullStr | A new heuristic measure of fragility and tail risks : application to stress testing / prepared by Nassim N. Taleb [and others]. |
| title_full_unstemmed | A new heuristic measure of fragility and tail risks : application to stress testing / prepared by Nassim N. Taleb [and others]. |
| title_short | A new heuristic measure of fragility and tail risks : |
| title_sort | new heuristic measure of fragility and tail risks application to stress testing |
| title_sub | application to stress testing / |
| topic | Banks and banking Mathematical models. Banks and banking Forecasting. Debts, Public Mathematical models. Debts, Public Forecasting. Dettes publiques Modèles mathématiques. Dettes publiques Prévision. BUSINESS & ECONOMICS Finance. bisacsh Banks and banking Forecasting fast Banks and banking Mathematical models fast Debts, Public Mathematical models fast |
| topic_facet | Banks and banking Mathematical models. Banks and banking Forecasting. Debts, Public Mathematical models. Debts, Public Forecasting. Dettes publiques Modèles mathématiques. Dettes publiques Prévision. BUSINESS & ECONOMICS Finance. Banks and banking Forecasting Banks and banking Mathematical models Debts, Public Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568120 |
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