Construct · 1 fields · 1 citations

srisk: a standalone construct

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Finance

the expected capital shortfall of a financial firm during a severe market decline, used to rank systemic risk.

In finance, srisk refers to the expected capital shortfall of a financial firm during a severe market decline, used to rank systemic risk. This meaning comes from Brownlees (2017) in Review of Financial Studies.[1]

Unit
Recovery means
Measured by

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Nearby constructs

capital2 fields · 3 citationsjingle · one word, two constructs market3 fields · 5 citationsjingle · one word, three constructs rank4 fields · 8 citationsjingle · one word, four constructs

References

Brownlees, C., & Engle, R. F. (2017). SRISK: A conditional capital shortfall measure of systemic risk. Review of Financial Studies, 30(1), 48-79. https://doi.org/10.1093/rfs/hhw060

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