US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $115,174 | 47.20 | 19.49 |
Bank of America Corp | $85,514 | 39.48 | 11.88 |
Goldman Sachs Group Inc/The | $47,696 | 45.31 | 11.21 |
Prudential Financial Inc | $28,351 | 41.77 | 17.79 |
MetLife Inc | $20,211 | 43.74 | 12.69 |
Lincoln National Corp | $20,122 | 48.64 | 56.47 |
Wells Fargo & Co | $19,653 | 36.57 | 9.49 |
Corebridge Financial Inc | $17,991 | 43.77 | 22.64 |
Equitable Holdings Inc | $16,993 | 50.57 | 21.80 |
US Bancorp | $15,405 | 36.06 | 11.67 |
Engle and Ruan (2018)
Acharya, Pedersen, Philippon and Richardson (2016)
Engle (2016)
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
Brownlees and Engle (2016)
Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
Acharya, Engle, and Pierret (2015)
AEA Paper - Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
Acharya, Engle, and Richardson (2012)
Acharya, Pedersen, Philippon and Richardson (2010)