US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $112,873 | 48.34 | 15.34 |
Bank of America Corp | $84,178 | 45.40 | 10.44 |
Prudential Financial Inc | $32,579 | 50.78 | 18.09 |
Goldman Sachs Group Inc/The | $28,077 | 47.73 | 8.62 |
Wells Fargo & Co | $25,293 | 47.78 | 8.29 |
MetLife Inc | $24,968 | 51.48 | 12.88 |
Lincoln National Corp | $20,005 | 57.21 | 40.40 |
Corebridge Financial Inc | $19,483 | 58.17 | 19.43 |
Equitable Holdings Inc | $17,496 | 53.37 | 20.77 |
Brighthouse Financial Inc | $13,784 | 57.42 | 71.04 |
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)