US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $132,095 | 55.16 | 18.20 |
Bank of America Corp | $87,377 | 47.71 | 10.36 |
Goldman Sachs Group Inc/The | $52,992 | 53.62 | 9.94 |
Prudential Financial Inc | $30,838 | 50.19 | 17.31 |
Wells Fargo & Co | $25,041 | 47.05 | 8.40 |
MetLife Inc | $21,510 | 48.49 | 12.08 |
Lincoln National Corp | $20,369 | 64.79 | 50.70 |
Corebridge Financial Inc | $18,180 | 51.82 | 19.59 |
Equitable Holdings Inc | $15,985 | 54.77 | 18.72 |
US Bancorp | $15,738 | 45.74 | 10.17 |
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)