SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

被引：825

作者：

Brownlees, Christian ^{[1
,2
]}

Engle, Robert F. ^{[3
]}

机构：

[1] Univ Pompeu Fabra, Dept Econ & Business, Barcelona, Spain

[2] Barcelona GSE, Barcelona, Spain

[3] NYU, Stern Sch Business, Dept Finance, New York, NY 10003 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2017年 / 30卷 / 01期

基金：

美国国家科学基金会;

关键词：

HETEROSKEDASTICITY; CONNECTEDNESS; VOLATILITY; STRESS; MODELS; COSTS;

D O I：

10.1093/rfs/hhw060

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：48 / 79

页数：32

共 35 条

[1] Testing macroprudential stress tests: The risk of regulatory risk weights [J].

Acharya, Viral ;

Engle, Robert ;

Pierret, Diane .

JOURNAL OF MONETARY ECONOMICS, 2014, 65 :36-53

[2] Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks [J].

Acharya, Viral ;

Engle, Robert ;

Richardson, Matthew .

AMERICAN ECONOMIC REVIEW, 2012, 102 (03) :59-64

[3]

Admati A.R., 2013, The bankers.new clothes : what.s wrong with banking and what to do about it

[4]

Adrian T., 2016, AM EC REV IN PRESS

[5] Does Systemic Risk in the Financial Sector Predict Future Economic Downturns? [J].

Allen, Linda ;

Bali, Turan G. ;

Tang, Yi .

REVIEW OF FINANCIAL STUDIES, 2012, 25 (10) :3000-3036

[6] Systemic sovereign credit risk: Lessons from the US and Europe [J].

Ang, Andrew ;

Longstaff, Francis A. .

JOURNAL OF MONETARY ECONOMICS, 2013, 60 (05) :493-510

[7]

[Anonymous], 2010, Technical Report

[8]

[Anonymous], 2012, 0001 OFF FIN RES

[9] Assessing TARP [J].

Bayazitova, Dinara ;

Shivdasani, Anil .

REVIEW OF FINANCIAL STUDIES, 2012, 25 (02) :377-407

[10]

BERNANKE B, 1989, AM ECON REV, V79, P14

← 1 2 3 4 →