Abstract

http://ssrn.com/abstract=1611229
 
 

References (34)



 
 

Citations (5)



 


 



SRISK: A Conditional Capital Shortfall Measure of Systemic Risk


Christian T. Brownlees


Universitat Pompeu Fabra - Department of Economics and Business; Barcelona Graduate School of Economics (Barcelona GSE)

Robert F. Engle


New York University - Leonard N. Stern School of Business - Department of Economics; New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

April 4, 2016


Abstract:     
We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent financial crisis. SRISK delivers useful rankings of systemic institutions at various stages of the crisis and identifies Fannie Mae, Freddie Mac, Morgan Stanley, Bear Stearns and Lehman Brothers as top contributors as early as 2005-Q1. Moreover, aggregate SRISK provides early warning signals of distress in indicators of real activity.

Number of Pages in PDF File: 47

Keywords: Systemic Risk Measurement, Forecasting

JEL Classification: C22, C23, C53, G01, G20


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Date posted: May 18, 2010 ; Last revised: August 5, 2016

Suggested Citation

Brownlees, Christian T. and Engle, Robert F., SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (April 4, 2016). Available at SSRN: http://ssrn.com/abstract=1611229 or http://dx.doi.org/10.2139/ssrn.1611229

Contact Information

Christian T. Brownlees (Contact Author)
Universitat Pompeu Fabra - Department of Economics and Business ( email )
Ramon Trias Fargas 25-27
Barcelona, 08005
Spain
HOME PAGE: http://www.econ.upf.edu/~cbrownlees/
Barcelona Graduate School of Economics (Barcelona GSE) ( email )
Ramon Trias Fargas 25-27
Barcelona, Catalonia 08014
Spain
Robert F. Engle
New York University - Leonard N. Stern School of Business - Department of Economics ( email )
269 Mercer Street
New York, NY 10003
United States
New York University (NYU) - Department of Finance
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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