RESEARCH

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 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 Publications

Analysis 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.