We emphasize and encourage links between academic researchers and practitioners at financial institutions to bring theoretical techniques to bear on realworld issues.

Systemic Risk


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

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


Project Lead: GRI Research Team

publications and links



Lead Researcher

 Lead Researcher