RESEARCH

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Systemic Risk

Title

Systemic Risk Benchmarking Study (SRISK)

SUMMARY:
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.

Related Publications


Related Publications

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Project Lead: GRI Research Team

publications and links

 

   
   

Lead Researcher

 Lead Researcher