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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
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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
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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
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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
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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
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SRISK : A Conditional Capital Shortfall Measure of Systemic Risk
Brownlees, Christian T. - 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
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SRISK : A Conditional Capital Shortfall Measure of Systemic Risk
Brownlees, Christian T.; 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