SRISK : a conditional capital shortfall measure of systemic risk

by Christian Brownlees, Robert Engle

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.

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Year of publication:	[2017]
Authors:	Brownlees, Christian ; Engle, Robert F.
Publisher:	Frankfurt am Main, Germany : European Systemic Risk Board
Subject:	Systemic Risk Measurement \| Great Financial Crisis \| GARCH \| DCC \| Finanzkrise \| Financial crisis \| Systemrisiko \| Systemic risk \| Messung \| Measurement \| Finanzsektor \| Financial sector \| Welt \| World \| ARCH-Modell \| ARCH model

Extent:	1 Online-Ressource (circa 49 Seiten) Illustrationen
Series:	Working paper series. - Frankfurt am Main, Germany : European Systemic Risk Board, ISSN 2467-0677, ZDB-ID 2930716-8. - Vol. no 37 (March 2017)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
ISBN:	978-92-95081-96-3
Other identifiers:	10.2849/814038 [DOI] hdl:10419/193544 [Handle]
Classification:	C22 - Time-Series Models ; C23 - Models with Panel Data ; C53 - Forecasting and Other Model Applications ; G01 - Financial Crises ; G20 - Financial Institutions and Services. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011975954