Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/193544 
Year of Publication: 
2017
Series/Report no.: 
ESRB Working Paper Series No. 37
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
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 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.
Subjects: 
Systemic Risk Measurement
Great Financial Crisis
GARCH
DCC
JEL: 
C22
C23
C53
G01
G20
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-96-3
Document Type: 
Working Paper

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