SRISKv2 - A Note

Alexander Jiron and Marco Migueis

No 2020-09-18-2, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: SRISK is a very influential metric of the systemic risk posed by financial firms. However, SRISK suffers from a conceptual flaw in its capital shortfall calculation. This note proposes a modified version of this metric, SRISKv2, which corrects this flaw and provides a more sensible metric of the systemic risk posed by financial firms.

Date: 2020-09-18
New Economics Papers: this item is included in nep-ifn and nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.federalreserve.gov//econres/notes/feds ... -a-note-20200918.htm (text/html)

Related works:
Journal Article: SRISKv2 – A note (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2020-09-18-2

DOI: 10.17016/2380-7172.2724

Access Statistics for this paper

More papers in FEDS Notes from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().