Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks †

By V. Acharya, Robert F. Engle, Matthew Richardson. 2012

1,112 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/5ea6731c2d6be78c7dc2e8dd35206bd89f9e37a3

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Citations in the corpus

Bank Capital and Financial Stability: An Economic Trade-Off or a Faustian Bargain? (2014, background): “Although deposits are a factor of production in banking, this fact alone is not sufficient to argue that banking must necessarily be characterized by higher leverage (for further discussion on this issue, see Acharya et al. 2012).”
Bank liquidity creation and systemic risk (2021, positive): “2 In our additional tests, we also use the marginal expected shortfall proposed by Acharya et al. (2012, 2017) and Brownlees and Engle (2017) to measure systemic risk in order to ensure that our empirical findings are robust to alternative systemic risk metrics.”
Assessing contagion risk from energy and non-energy commodity markets (2017, background): “Well-know examples of risk measures2 include: 1. the Systemic Risk (SRISK) Index (Acharya et al., 2010, 2012; Brownlees and Engle, 2017), 2. the Game theoretic “Shapley Value” (Drehmann and Tarashev, 2013; Tarashev et al., 2016), 3. the DCoVaR measure (Adrian and Brunnermeier, 2016).”
Interconnectedness and systemic risk of China's financial institutions (2017, background): “Acharya et al. (2017) present two systemic risk measures, marginal expected shortfall (MES) and systemic expected shortfall (SES), where the former is defined as a financial institution’s losses when the entire financial system is experiencing losses, and the latter is calculated by taking into acco”
How Does Deposit Insurance Affect Bank Risk? Evidence from the Recent Crisis (2012, methodology): “Our measure is based on the expected capital shortfall framework developed by Acharya et al. (2012).”
Benefits and Costs of Bank Capital (2016, background): “Sufficient aggregate capital may enable strong banks to acquire weak institutions (Acharya, Engle, and Richardson 2012).”
The Financial Crisis of 2007–2009: Why Did It Happen and What Did We Learn? (2015, neutral): “This exceeds what is prescribed by both the Basel II and III accords, but it is below what many believe is needed for financial stability (e.g., Acharya, Engle, and Richardson 2012; Admati and Hellwig 2013).”