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...
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| Main Author: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
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| Series: | IMF working paper ;
WP/12/216. |
| Subjects: | |
| Online Access: | CONNECT |
