US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $128,968 | 51.88 | 18.49 |
Bank of America Corp | $66,838 | 38.43 | 10.75 |
Goldman Sachs Group Inc/The | $51,352 | 49.92 | 10.46 |
Prudential Financial Inc | $28,714 | 44.55 | 17.11 |
MetLife Inc | $20,365 | 46.06 | 12.09 |
Lincoln National Corp | $20,037 | 59.18 | 49.67 |
Corebridge Financial Inc | $17,864 | 49.29 | 19.80 |
Equitable Holdings Inc | $15,953 | 53.71 | 19.04 |
Wells Fargo & Co | $15,650 | 42.71 | 8.41 |
State Street Corp | $14,418 | 46.26 | 13.90 |
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)