美国金融机构系统性风险前十名 | |||
|---|---|---|---|
前十名 | SRISK ($m) | LRMES | LVG |
美国花旗集团 | $113,715 | 50.84 | 15.23 |
美国银行 | $47,995 | 42.10 | 9.29 |
美国高盛集团 | $30,065 | 50.43 | 8.39 |
美国保德信金融公司 | $29,022 | 48.19 | 16.30 |
美国林肯国民公司 | $19,827 | 56.98 | 47.70 |
美国大都会人寿保险公司 | $19,307 | 45.98 | 11.67 |
Corebridge Financial Inc | $17,666 | 54.50 | 17.46 |
Equitable控股股份有限公司 | $15,704 | 55.50 | 17.72 |
Brighthouse金融股份有限公司 | $13,286 | 60.85 | 59.74 |
Jackson金融股份有限公司 | $12,210 | 54.58 | 30.03 |
论文 - How Much SRISK is Too Much?
Engle and Ruan (2018)
Acharya, Pedersen, Philippon and Richardson (2016)
Engle (2016)
论文 - SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
Brownlees and Engle (2016)
论文 - Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
Acharya, Engle, and Pierret (2015)
美国经济学会年会论文 - Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
Acharya, Engle, and Richardson (2012)
Viral Acharya教授在纽约美联储全球系统性风险会议上的发言幻灯片
Acharya (2011)
Acharya, Pedersen, Philippon and Richardson (2010)