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

Working Paper No. 12/216

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... READ MORE...

Publication date: August 2012
ISBN 9781475505665

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Publication date: August 2012