US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $124,362 | 52.24 | 17.12 |
Bank of America Corp | $65,457 | 42.72 | 10.00 |
Goldman Sachs Group Inc/The | $41,502 | 49.91 | 9.42 |
Wells Fargo & Co | $32,564 | 51.36 | 8.27 |
Prudential Financial Inc | $30,530 | 50.14 | 17.03 |
MetLife Inc | $21,134 | 48.30 | 11.96 |
Lincoln National Corp | $19,964 | 57.54 | 49.95 |
Corebridge Financial Inc | $18,497 | 55.07 | 19.08 |
Equitable Holdings Inc | $16,413 | 57.94 | 18.61 |
US Bancorp | $15,675 | 45.83 | 10.14 |
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)