 | "Near-Coincident" Indicators of Systemic Stress Author/Editor: Ivailo Arsov, Elie Canetti, Laura E Kodres, Srobona Mitra. Release Date:May, 2013 The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk more...
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 | A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing Author/Editor: Nassim N. Taleb, Elie Canetti, Tidiane Kinda, Elena Loukoianova, Christian Schmieder. Release Date:August, 2012 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 more...
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