SRISKv2 - A Note
Posted: 24 Sep 2020
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SRISKv2 - A Note
FEDS Notes No. 2020-09-18-2 https://doi.org/10.17016/2380-7172.2724
Posted: 24 Sep 2020
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Date Written: September 18, 2020
Abstract
SRISK is a very influential metric of the systemic risk posed by financial firms. However, SRISK suffers from a conceptual flaw in its capital shortfall calculation. This note proposes a modified version of this metric, SRISKv2, which corrects this flaw and provides a more sensible metric of the systemic risk posed by financial firms.
Suggested Citation: Suggested Citation
Migueis, Marco and Jiron, Alexander, SRISKv2 - A Note (September 18, 2020). FEDS Notes No. 2020-09-18-2 https://doi.org/10.17016/2380-7172.2724, Available at SSRN: https://ssrn.com/abstract=3699097
Marco Migueis (Contact Author)
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
Alexander Jiron
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
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