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Cited by 1,304

The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Brownlees, Christian, Engle, Robert F.·2017·Review of Financial Studies
DOI 10.1093/rfs/hhw060
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Abstract

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top financial institutions in the recent financial crisis. SRISK delivers useful rankings of systemic institutions at various stages of the crisis and identifies Fannie Mae, Freddie Mac, Morgan Stanley, Bear Stearns, and Lehman Brothers as top contributors as early as 2005-Q1. Moreover, aggregate SRISK provides early warning signals of distress in indicators of real activity.

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Metadata

Authors
Brownlees, C., & Engle, R. F.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2016-08-06
Volume
30
Issue
1
Pages
48-79
ISSN
  • 0893-9454
  • 1465-7368
DOI
10.1093/rfs/hhw060
OpenAlex
W3122471459
Cited by
1,304
References
29
FWCI
146.08
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. https://app.cochat.ai/papers/10.1093/rfs/hhw060
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Brownlees, C., & Engle, R. F. (2017). SRISK: A Conditional Capital Shortfall Measure of Systemic Risk. Review of Financial Studies. https://doi.org/10.1093/rfs/hhw060

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.