US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $114,084 | 47.59 | 19.01 |
Bank of America Corp | $80,842 | 39.88 | 11.49 |
Goldman Sachs Group Inc/The | $46,374 | 46.52 | 10.81 |
Prudential Financial Inc | $28,475 | 42.73 | 17.63 |
Lincoln National Corp | $20,336 | 54.06 | 55.48 |
MetLife Inc | $19,631 | 43.58 | 12.45 |
Wells Fargo & Co | $19,338 | 37.91 | 9.29 |
Corebridge Financial Inc | $18,270 | 47.85 | 21.83 |
Equitable Holdings Inc | $17,016 | 51.87 | 21.33 |
US Bancorp | $15,254 | 37.38 | 11.41 |
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)