A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing
A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing
A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing
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Publisher
Washington, D.C: International Monetary Fund
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Language
English
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Publisher
Washington, D.C: International Monetary Fund
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Contents
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 unc...
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Full title
A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing
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TN_cdi_crossref_primary_10_5089_9781475505665_001
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_primary_10_5089_9781475505665_001
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ISBN
1475505663,9781475505665
ISSN
1018-5941
DOI
10.5089/9781475505665.001
