A New Heuristic Measure of Fragility and Tail （一种新的启发式的脆弱性和尾巴）.pdf

WP/12/216 A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing Nassim N. Taleb, Elie Canetti, Tidiane Kinda, Elena Loukoianova, and Christian Schmieder © 2012 International Monetary Fund WP/12/216 IMF Working Paper Monetary and Capital Markets Department 1 A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing Prepared by Nassim N. Taleb, Elie Canetti, Tidiane Kinda, Elena Loukoianova, Christian Schmieder Authorized for distribution by Christopher Towe August 2012 This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the authors and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the authors and are published to elicit comments and to further debate. Abstract 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 uncertainty attending parameters and their estimation. The heuristic can be seen as a second order stress test to detect nonlinearities in the tails that can lead to fragility, i.e., provide addit