SRISKv2 - A Note
8 Pages Posted: 3 Aug 2020 Last revised: 24 Mar 2021
Date Written: August 26, 2020
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.
Keywords: Systemic Risk, Systemic Importance, SRISK
JEL Classification: G01, G21
Suggested Citation: Suggested Citation