SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
成果类型：
Article
署名作者：
Brownlees, Christian; Engle, Robert F.
署名单位：
Pompeu Fabra University; Barcelona School of Economics; New York University
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhw060
发表日期：
2017
页码：
48
关键词：
Heteroskedasticity
CONNECTEDNESS
volatility
stress
models
COSTS
摘要：
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.
来源URL：