US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $126,460 | 53.73 | 17.14 |
Bank of America Corp | $81,646 | 47.39 | 10.09 |
Goldman Sachs Group Inc/The | $47,159 | 52.31 | 9.56 |
Wells Fargo & Co | $46,104 | 56.99 | 8.34 |
Prudential Financial Inc | $31,131 | 52.27 | 16.91 |
MetLife Inc | $21,687 | 49.72 | 11.89 |
Lincoln National Corp | $20,244 | 62.87 | 50.01 |
Corebridge Financial Inc | $17,975 | 52.56 | 18.83 |
Equitable Holdings Inc | $16,187 | 56.59 | 18.54 |
US Bancorp | $15,630 | 46.85 | 9.95 |
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)