Systemic Risk Benchmarking Study (SRISK)
The systemic risk measure (SRISK) originally proposed by Brownlees and Engle (2011), is defined as the expected capital shortfall of a firm conditional on a prolonged market decline. It is a function of a firm's size, leverage, and risk and can be calculated using publicly available data. Weekly updates of SRISK for top financial institutions are provided on NYU Stern’s V-Lab website http://vlab.stern.nyu.edu/welcome/risk.
In this study, we perform an analysis of the SRISK of major Canadian financial institutions and provide a comparison between the Canadian and U.S. firms with the highest SRISK.
|Project Lead:||GRI Research Team|
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