A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing
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Cited by:
- N. N. Taleb & R. Douady, 2013.
"Mathematical definition, mapping, and detection of (anti)fragility,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1677-1689, November.
- Nassim N. Taleb & Raphael Douady, 2012. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Papers 1208.1189, arXiv.org.
- Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Documents de travail du Centre d'Economie de la Sorbonne 14093, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Post-Print hal-01151340, HAL.
- N. N. Taleb & Raphaël Douady, 2013. "Mathematical Definition, Mapping, and Detection of (Anti)fragility," Post-Print hal-01052645, HAL.
- Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151340, HAL.
- N. N. Taleb & Raphaël Douady, 2013. "Mathematical Definition, Mapping, and Detection of (Anti)fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01052645, HAL.
- Robert Heath, 2013. "Why Are The G-20 Data Gaps Initiative And The Sdds Plus Relevant For Financial Stability Analysis?," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 4(03), pages 1-24.
- Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
- J. D. Opdyke, 2014. "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," Papers 1406.0389, arXiv.org, revised Nov 2014.
- Paolo Giordani & Simon H. Kwan, 2019. "Tracking Financial Fragility," Working Paper Series 2019-6, Federal Reserve Bank of San Francisco.
- Setene, Letlama & Jordaan, Daniel du P.S., 2021. "The trade-off between chain performance and fragility considering coordination strategies of agri-food chains: a South African egg chain's case study," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 24(3), March.
- Donald P. Morgan & Stavros Peristiani & Vanessa Savino, 2014. "The Information Value of the Stress Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(7), pages 1479-1500, October.
- Mr. Robert M Heath, 2013. "Why are the G-20 Data Gaps Initiative and the SDDS Plus Relevant for Financial Stability Analysis?," IMF Working Papers 2013/006, International Monetary Fund.
- Lemus, Antonio & Nuñez, Marco, 2020. "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile [Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper 99097, University Library of Munich, Germany.
- Piffaretti, Nadia F., 2014. "Elements for a Conceptual Model of Fragility," MPRA Paper 77861, University Library of Munich, Germany.
- Mr. Eugenio M Cerutti & Mr. Christian Schmieder, 2012. "The Need for "Un-consolidating" Consolidated Banks' Stress Tests," IMF Working Papers 2012/288, International Monetary Fund.
- Harald de Bruijn & Andreas Größler & Nuno Videira, 2020. "Antifragility as a design criterion for modelling dynamic systems," Systems Research and Behavioral Science, Wiley Blackwell, vol. 37(1), pages 23-37, January.
- Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn, 2016. "Big is Fragile: An Attempt at Theorizing Scale," Papers 1603.01416, arXiv.org, revised Jun 2017.
- Callegari, C. & Szklo, A. & Schaeffer, R., 2018. "Cost overruns and delays in energy megaprojects: How big is big enough?," Energy Policy, Elsevier, vol. 114(C), pages 211-220.
- Andrzej Slawinski, 2015. "Shielding money creation from severe banking crises: How useful are proposals offered by the alternative reform plans?," Bank i Kredyt, Narodowy Bank Polski, vol. 46(3), pages 191-206.
- Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
- Thomas Santoli & Christoph Siebenbrunner, 2018. "An ontological investigation of unimaginable events," Papers 1803.02570, arXiv.org, revised Jun 2018.
- Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
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Keywords
WP; procedure; debt; bank; bank capitalization; Stress Testing; Forecasting; Stability; tail risk; contagion risk stress tests; inappropriate method; interconnectivity risk; standardized method; basic procedure; Personal income; Credit; Solvency stress testing; Global;All these keywords.
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