SRISKv2 – A note

Marco Migueis and Alexander Jiron

Economics Letters, 2021, vol. 201, issue C

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.

Keywords: Systemic risk; Systemic importance; SRISK (search for similar items in EconPapers)
JEL-codes: G01 G21 (search for similar items in EconPapers)
Date: 2021
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Working Paper: SRISKv2 - A Note (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000744

DOI: 10.1016/j.econlet.2021.109797

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