US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $115,683 | 49.66 | 15.97 |
Bank of America Corp | $47,946 | 40.29 | 9.54 |
Goldman Sachs Group Inc/The | $31,949 | 48.77 | 8.79 |
Prudential Financial Inc | $29,068 | 47.19 | 16.64 |
Lincoln National Corp | $19,659 | 53.57 | 48.03 |
MetLife Inc | $18,726 | 44.34 | 11.76 |
Corebridge Financial Inc | $17,515 | 52.63 | 17.83 |
Wells Fargo & Co | $16,073 | 47.65 | 7.79 |
Equitable Holdings Inc | $15,695 | 55.72 | 17.62 |
Brighthouse Financial Inc | $13,300 | 61.72 | 59.19 |
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)