Monthly Archives: October 2012

Nassim Taleb Still Has the Most Nassim Taleb Auto-Reply Email Ever | Observer

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AUTOREPLYP

lease ignore this message if you are a personal friend or engaged in an ongoingcorrespondence.

Dear correspondent;

I am currently disengaged from the rest of the world until November 2012.
I had to stop replying to emails outside of the strictly personal friends, family, citizens of Amioun, etc., except for extremely important/urgent matters.
Please note that, except for emergencies & appointments, I reply to mails with an equivalent frequency to that of classical letters.

(REQUESTS: Also note that 1 I no longer do media interviews except those scheduled by publisher), 2) can no longer endorse books, 3) do not participate in documentary films, 4) will not give lectures in Asia, Australia, and other places entailing severe jetlag, etc.
I apologize for the inconvenience.

via Nassim Taleb Still Has the Most Nassim Taleb Auto-Reply Email Ever | Observer.
HatTip to Dave Lull

A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing by Nassim Taleb…

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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 additional information on the robustness of stress tests. It also shows how the measure can be used to assess the robustness of public debt forecasts, an important issue in many countries. The heuristic measure outlined here can be used in a variety of situations to ascertain an ordinal ranking of fragility to tail risks.

Number of Pages in PDF File: 24

Keywords: Stress Testing, Forecasting, Stability

via A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing by Nassim Taleb, Elie Canetti, Tidiane Kinda, Elena Loukoianova, Christian Schmieder :: SSRN.