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
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...