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SRISK : A Conditional Capital Shortfall Measure of Systemic Risk

Brownlees, Christian; Engle, Robert F. - 2021

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...

Persistent link: https://www.econbiz.de/10013248860

Measuring systemic risk

Acharya, Viral V.; Brownlees, Christian; Engle, Robert F.; … - In: Managing and measuring risk : emerging global standards …, (pp. 65-98). 2012

Persistent link: https://www.econbiz.de/10009742628

Evaluating the accuracy of tail risk forecasts for systemic risk measurement

Brownlees, Christian; Cavaliere, Giuseppe; Monti, Alice - In: Annals of financial economics 13 (2018) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10011931111

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

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...

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

SRISK: a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - In: The review of financial studies 30 (2017) 1, pp. 48-79

Persistent link: https://www.econbiz.de/10011738007

SRISK : A Conditional Capital Shortfall Measure of Systemic Risk

Brownlees, Christian - 2016

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...

Persistent link: https://www.econbiz.de/10013008885

Back to the future : backtesting systemic risk measures during historical bank runs and the great depression

Brownlees, Christian; Chabot, Ben; Ghysels, Eric; Kurz, … - In: Journal of banking & finance 113 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012226121

Identification of global and national shocks in international financial markets via general dynamic factor models

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2017

Persistent link: https://www.econbiz.de/10011673310

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012064799

Time-varying general dynamic factor models and the measurement of financial connectedness

Barigozzi, Matteo; Hallin, Marc; Soccorsi, Stefano - 2019

Persistent link: https://www.econbiz.de/10012183847

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