SRISKv2 - A Note

8 Pages Posted: 3 Aug 2020 Last revised: 24 Mar 2021

See all articles by Marco Migueis

Marco Migueis

Board of Governors of the Federal Reserve System

Alexander Jiron

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: August 26, 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.

Keywords: Systemic Risk, Systemic Importance, SRISK

JEL Classification: G01, G21

Suggested Citation

Migueis, Marco and Jiron, Alexander, SRISKv2 - A Note (August 26, 2020). Available at SSRN: https://ssrn.com/abstract=3642020 or http://dx.doi.org/10.2139/ssrn.3642020

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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