How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Institution	SRISK %	SRISK ($ m)	Marginal SRISK	LRMES	Market β	Cor	Vol	Lvg	Stressed Lvg

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Systemic Risk Analysis (Dynamic MES) of U.S. Financials

Systemic Risk Rankings for

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