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A new heuristic measure of fragility and tail risks : application to stress testing
Taleb, Nassim Nicholas; Canetti, Elie; Kinda, Tidiane; … - 2012
This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to …
Persistent link: https://www.econbiz.de/10009621630
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How to capture macro-financial spillover effects in stress tests?
Hesse, Heiko; Salman, Ferhan; Schmieder, Christian - 2014
Persistent link: https://www.econbiz.de/10010388854
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A New Heuristic Measure of Fragility and Tail Risks : Application to Stress Testing
Schmieder, Christian - 2012
This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to …
Persistent link: https://www.econbiz.de/10014395738