SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

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ID: 296927
2016
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Abstract
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 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.
Reference Key
openalex_W3122471459 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Christian T. Brownlees, Robert F. Engle
Journal review of financial studies
Year 2016
DOI
10.1093/rfs/hhw060
URL
https://academic.oup.com/rfs/article-pdf/30/1/48/8601284/hhw060.pdf
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