US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $107,054 | 48.19 | 16.86 |
Bank of America Corp | $54,140 | 38.36 | 10.18 |
Goldman Sachs Group Inc/The | $40,490 | 47.92 | 9.88 |
Prudential Financial Inc | $24,948 | 39.47 | 15.78 |
Lincoln National Corp | $19,520 | 47.83 | 46.04 |
Equitable Holdings Inc | $16,234 | 51.83 | 19.12 |
Corebridge Financial Inc | $16,124 | 42.61 | 18.76 |
MetLife Inc | $14,172 | 39.99 | 11.05 |
Brighthouse Financial Inc | $13,202 | 55.82 | 55.10 |
State Street Corp | $12,798 | 44.13 | 13.54 |
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)