NYU Stern has released its rankings for banks capable of causing systemic risk.
Banks and other financial firms bailed out by the government, or sponsored by the state, fill out the higher portions of the list.
Stern has developed its proprietary SRISK%, which identifies the percentage of the overall systemic capital shortfall that would be borne by that firm.
It calculates just how exposed each firm is to a financial crisis and suggests how much the company would share its problems with the rest of the economy. The higher the number, the larger the shock to the system, the bigger the threat the firm to financial stability.
MES, another data point, describes what percentage the company’s stock would decline in the event of a 2% market fall.
ERISK attempts to explain the amount of capital the firm specifically would be short in a crisis. This effects both equity holders, and bond holders of the firm, potentially extending the crisis.
Here are the 32 banks and CEOs that could cause serious systemic risk >
Company Type: Insurance
Systemic Risk Percentage: 0.13%
Equity Risk: 2.99%
Marginal Expected Shortfall: 3.18%
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.23%
Equity Risk: 3.6
Marginal Expected Shortfall: 4.3
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 0.29%
Equity Risk: 3.18
Marginal Expected Shortfall: 3.57
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 0.3%
Equity Risk: 10.76
Marginal Expected Shortfall: 18.62
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.3%
Equity Risk: 5.67
Marginal Expected Shortfall: 8.48
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.31%
Equity Risk: 4.19
Marginal Expected Shortfall: 5.48
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.32%
Equity Risk: 4.22
Marginal Expected Shortfall: 5.55
Source: NYU Stern
Company Type: Financial Products
Systemic Risk Percentage: 0.36%
Equity Risk: 3.33
Marginal Expected Shortfall: 3.35
Source: NYU Stern
Company Type: Broker Dealer
Systemic Risk Percentage: 0.4%
Equity Risk: 4.46
Marginal Expected Shortfall: 3.94
Source: NYU Stern
Company Type: Business Lender
Systemic Risk Percentage: 0.41%
Equity Risk: 2.02
Marginal Expected Shortfall: 0.64
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.52%
Equity Risk: 3.74
Marginal Expected Shortfall: 4.56
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 0.59%
Equity Risk: 3.34
Marginal Expected Shortfall: 3.89
Source: NYU Stern
Company Type: Loans and Credit Cards
Systemic Risk Percentage: 0.6%
Equity Risk: 3.92
Marginal Expected Shortfall: 4.56
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.75%
Equity Risk: 3.79
Marginal Expected Shortfall: 4.7
Source: NYU Stern
Company Type: Diversified Finance
Systemic Risk Percentage: 0.76%
Equity Risk: 4.21
Marginal Expected Shortfall: 5.08
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 0.78%
Equity Risk: 3.59
Marginal Expected Shortfall: 4.27
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.82%
Equity Risk: 3.14
Marginal Expected Shortfall: 3.4
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.82%
Equity Risk: 3.95
Marginal Expected Shortfall: 4.98
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 0.91%
Equity Risk: 3.2
Marginal Expected Shortfall: 3.56
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 1.03%
Equity Risk: 3.82
Marginal Expected Shortfall: 4.81
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 1.33%
Equity Risk: 2.86
Marginal Expected Shortfall: 2.95
Source: NYU Stern
Company Type: Student Lender
Systemic Risk Percentage: 1.34%
Equity Risk: 4.42
Marginal Expected Shortfall: 5.45
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 1.97%
Equity Risk: 3.13
Marginal Expected Shortfall: 3.38
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 2.61%
Equity Risk: 3.26
Marginal Expected Shortfall: 3.68
Source: NYU Stern
Company Type: Broker Dealer
Systemic Risk Percentage: 5.25%
Equity Risk: 5.3
Marginal Expected Shortfall: 5.68
Source: NYU Stern
Company Type: Insurance
Systemic Risk Percentage: 6.57%
Equity Risk: 2.79
Marginal Expected Shortfall: 2.58
Source: NYU Stern
Company Type: Mortgage Industry (GSE)
Systemic Risk Percentage: 8.82%
Equity Risk: 4.4
Marginal Expected Shortfall: 5.06
Source: NYU Stern
Company Type: Mortgage Industry (GSE)
Systemic Risk Percentage: 9.18%
Equity Risk: 4.75
Marginal Expected Shortfall: 5.71
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 10.42%
Equity Risk: 4.12
Marginal Expected Shortfall: 5.35
Source: NYU Stern
Company Type: Broker Dealer
Systemic Risk Percentage: 10.56%
Equity Risk: 7.32
Marginal Expected Shortfall: 9.77
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 15.52%
Equity Risk: 5.18
Marginal Expected Shortfall: 7.38
Source: NYU Stern
Company Type: Depositories
Systemic Risk Percentage: 15.83%
Equity Risk: 4.21
Marginal Expected Shortfall: 5.47
Source: NYU Stern
Business Insider Emails & Alerts
Site highlights each day to your inbox.
Follow Business Insider Australia on Facebook, Twitter, LinkedIn, and Instagram.
