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A New Heuristic Measure of Fragility and Tail Risks

A New Heuristic Measure of Fragility and Tail Risks »

Source: A New Heuristic Measure of Fragility and Tail Risks : Application to Stress Testing

Volume/Issue: 2012/216

Series: IMF Working Papers

Author(s): Christian Schmieder , Tidiane Kinda , Nassim Taleb , Elena Loukoianova , and Elie Canetti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505665

Keywords: Stability, debt dynamics, sovereign debt, net debt, banking,

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...