via Clusterstock by Gregory White on 4/21/10
NYU Stern has released their 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 CEO's that could cause serious systemic risk >
Ranked 32: MBIA, CEO Gary Dunton
Systemic Risk Percentage: 0.13%
Equity Risk: 2.99%
Marginal Expected Shortfall: 3.18%
Source: NYU Stern
Ranked 31: Huntingtons Bancshares, CEO Stephen D. Steinour
Systemic Risk Percentage: 0.23%
Equity Risk: 3.6
Marginal Expected Shortfall: 4.3
Source: NYU Stern
Ranked 30: Comerica, CEO Ralph Babb
Systemic Risk Percentage: 0.29%
Equity Risk: 3.18
Marginal Expected Shortfall: 3.57
Source: NYU Stern
Ranked 29: AMBAC Financial, CEO David W. Wallis
Systemic Risk Percentage: 0.3%
Equity Risk: 10.76
Marginal Expected Shortfall: 18.62
Source: NYU Stern
Ranked 28: Synovus Financial, CEO Richard E. Anthony
Systemic Risk Percentage: 0.3%
Equity Risk: 5.67
Marginal Expected Shortfall: 8.48
Source: NYU Stern
Ranked 27: Zions Bancorporation, CEO Harris H. Simmons
Systemic Risk Percentage: 0.31%
Equity Risk: 4.19
Marginal Expected Shortfall: 5.48
Source: NYU Stern
Ranked 26: Marshall & Ilsley, CEO Mark F. Furlong
Systemic Risk Percentage: 0.32%
Equity Risk: 4.22
Marginal Expected Shortfall: 5.55
Source: NYU Stern
Ranked 25: Ameriprise Financial, CEO James M. Cracchiolo
Systemic Risk Percentage: 0.36%
Equity Risk: 3.33
Marginal Expected Shortfall: 3.35
Source: NYU Stern
Ranked 24: E-Trade, CEO Steven Freiberg
Systemic Risk Percentage: 0.4%
Equity Risk: 4.46
Marginal Expected Shortfall: 3.94
Source: NYU Stern
Ranked 23: CIT Group, CEO John Thain
Systemic Risk Percentage: 0.41%
Equity Risk: 2.02
Marginal Expected Shortfall: 0.64
Source: NYU Stern
Ranked 22: Keycorp, CEO Henry Meyer
Systemic Risk Percentage: 0.52%
Equity Risk: 3.74
Marginal Expected Shortfall: 4.56
Source: NYU Stern
Ranked 21: Principal Financial Group, CEO Larry Zimpleman
Systemic Risk Percentage: 0.59%
Equity Risk: 3.34
Marginal Expected Shortfall: 3.89
Source: NYU Stern
Ranked 20: Capital One Financial, CEO Richard Fairbank
Systemic Risk Percentage: 0.6%
Equity Risk: 3.92
Marginal Expected Shortfall: 4.56
Source: NYU Stern
Ranked 19: Suntrust Banks, CEO James M. Wells, III
Systemic Risk Percentage: 0.75%
Equity Risk: 3.79
Marginal Expected Shortfall: 4.7
Source: NYU Stern
Ranked 18: Fifth Third Bancorp, CEO Kevin T. Kabat
Systemic Risk Percentage: 0.76%
Equity Risk: 4.21
Marginal Expected Shortfall: 5.08
Source: NYU Stern
Ranked 17: Genworth Financial, CEO Michael D. Fraizer
Systemic Risk Percentage: 0.78%
Equity Risk: 3.59
Marginal Expected Shortfall: 4.27
Source: NYU Stern
Ranked 16: PNC Financial Services, CEO Jim Rohr
Systemic Risk Percentage: 0.82%
Equity Risk: 3.14
Marginal Expected Shortfall: 3.4
Source: NYU Stern
Ranked 15: Regions Financial, CEO Grayson Hall
Systemic Risk Percentage: 0.82%
Equity Risk: 3.95
Marginal Expected Shortfall: 4.98
Source: NYU Stern
Ranked 14: Wells Fargo, CEO John Stumpf
Systemic Risk Percentage: 0.91%
Equity Risk: 3.2
Marginal Expected Shortfall: 3.56
Source: NYU Stern
Ranked 13: Lincoln National, CEO Dennis Glass
Systemic Risk Percentage: 1.03%
Equity Risk: 3.82
Marginal Expected Shortfall: 4.81
Source: NYU Stern
Ranked 12: MetLife, CEO C. Robert Henrikson
Systemic Risk Percentage: 1.33%
Equity Risk: 2.86
Marginal Expected Shortfall: 2.95
Source: NYU Stern
Ranked 11: Sallie Mae (SLM), CEO Albert Lord
Systemic Risk Percentage: 1.34%
Equity Risk: 4.42
Marginal Expected Shortfall: 5.45
Source: NYU Stern
Ranked 10: Hartford Financial Services Group, CEO Liam E. McGee
Systemic Risk Percentage: 1.97%
Equity Risk: 3.13
Marginal Expected Shortfall: 3.38
Source: NYU Stern
Ranked 9: Prudential Financial, CEO John Strangfeld
Systemic Risk Percentage: 2.61%
Equity Risk: 3.26
Marginal Expected Shortfall: 3.68
Source: NYU Stern
Ranked 8: Morgan Stanley, CEO James Gorman
Systemic Risk Percentage: 5.25%
Equity Risk: 5.3
Marginal Expected Shortfall: 5.68
Source: NYU Stern
Ranked 7: AIG, CEO Robert Benmosche
Systemic Risk Percentage: 6.57%
Equity Risk: 2.79
Marginal Expected Shortfall: 2.58
Source: NYU Stern
Ranking 6: Fannie Mae, CEO Mike Williams
Systemic Risk Percentage: 8.82%
Equity Risk: 4.4
Marginal Expected Shortfall: 5.06
Source: NYU Stern
Ranked 5: Freddie Mac, CEO Charles Haldeman
Systemic Risk Percentage: 9.18%
Equity Risk: 4.75
Marginal Expected Shortfall: 5.71
Source: NYU Stern
Ranked 4: JP Morgan Chase, CEO Jamie Dimon
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Systemic Risk Percentage: 10.42%
Equity Risk: 4.12
Marginal Expected Shortfall: 5.35
Source: NYU Stern
Ranked 3: Goldman Sachs, CEO Lloyd Blankfein
Systemic Risk Percentage: 10.56%
Equity Risk: 7.32
Marginal Expected Shortfall: 9.77
Source: NYU Stern
Ranked 2: Citigroup, CEO Vikram Pandit
Systemic Risk Percentage: 15.52%
Equity Risk: 5.18
Marginal Expected Shortfall: 7.38
Source: NYU Stern
Ranked 1: Bank of America, CEO Brian Moynihan
Systemic Risk Percentage: 15.83%
Equity Risk: 4.21
Marginal Expected Shortfall: 5.47
Source: NYU Stern
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