US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $113,380 | 53.40 | 14.43 |
Bank of America Corp | $69,652 | 47.25 | 9.49 |
Goldman Sachs Group Inc/The | $32,206 | 51.18 | 8.44 |
Prudential Financial Inc | $32,142 | 54.96 | 17.00 |
Wells Fargo & Co | $27,791 | 54.28 | 7.54 |
MetLife Inc | $22,836 | 51.34 | 12.06 |
Lincoln National Corp | $19,980 | 59.73 | 47.76 |
Corebridge Financial Inc | $18,094 | 55.92 | 17.82 |
Equitable Holdings Inc | $16,666 | 59.03 | 18.88 |
State Street Corp | $13,404 | 51.04 | 11.92 |
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)