US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $129,137 | 49.73 | 19.32 |
Bank of America Corp | $82,702 | 41.74 | 11.13 |
Goldman Sachs Group Inc/The | $50,230 | 48.18 | 10.65 |
Prudential Financial Inc | $29,406 | 46.19 | 17.23 |
MetLife Inc | $20,499 | 44.85 | 12.40 |
Lincoln National Corp | $20,341 | 56.46 | 52.75 |
Corebridge Financial Inc | $17,649 | 46.80 | 20.60 |
Equitable Holdings Inc | $16,038 | 52.69 | 19.68 |
State Street Corp | $14,794 | 44.92 | 14.60 |
US Bancorp | $14,045 | 39.15 | 10.79 |
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)