Systemic Risk
Systemic Risk Benchmarking Study (SRISK)
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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 |
Related PublicationsAnalysis of the SRISK Measure and Its Application to the Canadian Banking and Insurance Industries > |
| Prudential Capital Ratio | Percent Market Decline | Time Period |
To provide a more in-depth look into what is driving the changes in SRISK, the following chart decomposes the overall change in SRISK (Δ SRISK) into three parts: Δ Debt, Δ Equity, and Δ Risk. Changes are calculated backwards from the present over the time horizon specified by the user above.