US Financials Systemic Risk Top Ten | |||
|---|---|---|---|
TOP 10 | SRISK ($m) | LRMES | LVG |
Citigroup Inc | $112,766 | 51.86 | 14.76 |
Bank of America Corp | $73,488 | 46.90 | 9.73 |
Wells Fargo & Co | $34,462 | 54.72 | 7.89 |
Goldman Sachs Group Inc/The | $33,662 | 50.99 | 8.58 |
Prudential Financial Inc | $32,245 | 54.75 | 17.18 |
MetLife Inc | $22,844 | 51.07 | 12.13 |
Lincoln National Corp | $19,963 | 59.13 | 48.09 |
Corebridge Financial Inc | $18,117 | 56.41 | 17.68 |
Equitable Holdings Inc | $16,730 | 59.89 | 18.69 |
US Bancorp | $14,543 | 46.40 | 9.74 |
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)