US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $103,501 | 48.43 | 13.81 |
Bank of America Corp | $46,345 | 41.99 | 9.18 |
Prudential Financial Inc | $32,674 | 51.99 | 17.76 |
Goldman Sachs Group Inc/The | $23,260 | 50.49 | 7.90 |
MetLife Inc | $23,167 | 51.29 | 12.03 |
Corebridge Financial Inc | $20,537 | 63.93 | 19.77 |
Lincoln National Corp | $19,864 | 57.26 | 38.50 |
Equitable Holdings Inc | $17,555 | 54.90 | 20.29 |
Brighthouse Financial Inc | $13,577 | 56.95 | 60.00 |
Jackson Financial Inc | $12,535 | 55.07 | 27.99 |
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)