SRISK: A Conditional Capital Shortfall Index for Systemic Risk Measurement

By Christian T. Brownlees, Robert F. Engle. 2012

174 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a15da56337c6c7e4edca77b1bbc9aca15faedc71

Citations in the corpus

• Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “The proof of Equation (16) is in Benoit et al. (2013, Appendix A) and in Brownlees and Engle (2015).”
• Systemic Risk and Bank Size (2018, unknown): “…suggest that the systemic risk rankings produced by our new (non-standardised) hybrid indicator are consistent with the designation of systemic importance given to US and European banks by the Financial Stability Board (FSB), and with rankings obtained by Brownlees and Engle (2017)’s indicator.”
• Systemic risk spillovers in the European banking and sovereign network (2016, unknown): “The explicit quantification and utilization of network dependencies distinguishes HSS2014 from alternative methods for measuring and predicting systemic risk, see, e.g., Acharya, Pedersen, Philippon, and Richardson (2010), Adrian and Brunnermeier (2011), and Brownlees and Engle (2012).”
• Fire‐Sale Spillovers and Systemic Risk (2015, unknown): “29 To capture differences in the liquidity of individual asset classes, we take advantage of the information about asset liquidity embedded in haircuts as proposed in Brunnermeier et al. (2012) and Bai, Krishnamurthy, and Weymuller (2013).”
• Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees (2016, unknown): “(2011) for recent advances in systemic risk measurement and Brunnermeier et al. (2010) for an overview of related research challenges.”
• Estimating Global Bank Network Connectedness (2017, unknown): “…see for example, Diebold & Yilmaz (2009), Acharya et al. (2017), Billio et al. (2012), L. Allen et al. (2012), Acharya et al. (2012), Barigozzi & Brownlees (2013), Diebold & Yilmaz (2014), Brownlees & Engle (2015), Bianchi et al. (2015), Giglio et al. (2016), and Adrian & Brunnermeier (2016).”
• Syndication, Interconnectedness, and Systemic Risk (2018, unknown): “We employ three frequently used bank-level systemic risk measures: (1) systemic capital shortfall (SRISK) (Acharya et al., 2017; Brownlees and Engle, 2017), (2) distressed insurance premium (DIP) (Huang et al., 2009), and (3) conditional value-at-risk (CoVaR) (Adrian and Brunnermeier, 2016).6 All…”
• Estimation of tail risk based on extreme expectiles (2016, unknown): “…that F Y is strictly increasing, there is δ ą 0 such that E | Y ´ | 2 ` δ ă 8 , condition C 2 p γ, ρ, A q holds with 0 ă γ ă 1 { 2 and ρ ă 0 , and that τ n , τ and Brownlees and Engle (2017) define systemic risk as the propensity of a financial institution to be undercapitalized when the financial…”
• Systemic Risk in Europe (2013, unknown): “Following the approach described by Brownlees and Engle (2012), we estimate the interactions between the aggregate SRISK and a set of macroeconomic variables, available at monthly frequency, including industrial production, unemployment rate, producer and consumer prices, consumer and business…”
• Extreme risk spillover network: application to financial institutions (2017, unknown): “(i) Our approach differs from the V-Lab measurements (e.g. SRISK) developed byAcharya, Engle et al. (2012); Acharya, Pedersen et al. (2017) and Brownlees and Engle (2017) that investigate an individual institution’s capital shortfall when the system is in distress, and our proposed network focuses…”