V-Lab: Systemic Risk Analysis Summary

V-Lab

| |

V-Lab

Region

for spacing

Normalize data

Countries

Global Systemic Risk by Country (US$ billion)

from

to

6M ·

1Y ·

2Y ·

5Y ·

US Financials Systemic Risk Top Ten
TOP 10	SRISK	LRMES	LVG
Citigroup Inc	121,411	49.24	19.71
Bank of America Corp	73,053	42.58	10.66
Goldman Sachs Group Inc/The	53,499	45.57	12.15
JPMorgan Chase & Co	25,577	49.46	7.39
Prudential Financial Inc	22,822	37.60	15.32
Lincoln National Corp	19,714	54.65	59.44
MetLife Inc	16,526	37.42	12.28
US Bancorp	16,503	43.20	10.89
Equitable Holdings Inc	16,322	49.91	23.95
Morgan Stanley	15,382	46.89	8.41

Global Financials

NYU Stern Systemic Risk Rankings of World Financials without Simulation

US Financials

Related Documents

How much SRISK is too much?
Engle and Ruan (2018)
Measuring Systemic Risk
Acharya, Pedersen, Philippon and Richardson (2016)
Dynamic Conditional Beta
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)
Slides from the NY Fed's Conference on Global Systemic Risk
Acharya (2011)
A Tax on Systemic Risk
Acharya, Pedersen, Philippon and Richardson (2010)