Discussion Paper
SRISKv2 - A Note
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.
https://doi.org/10.17016/2380-7172.2724
Access Documents
File(s): File format is text/html https://www.federalreserve.gov//econres/notes/feds-notes/sriskv2-a-note-20200918.htm
Authors
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: FEDS Notes
Publication Date: 2020-09-18
Number: 2020-09-18-2