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https://doi.org/10.17016/2380-7172.2724
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Cite Journal: FEDS Notes |  Publication Date: Sep 1, 2020 |
Affiliation: Federal Reserve, Federal Reserve Board of Governors
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.
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