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systemic risk
Source: NYU VLAB


I mentioned NYU’s VLAB earlier, but one more trick I wanted to share:

You can drill down by region or even country to see how much risk is in the system. Note that this is a function of both size and riskiness, i.e., a very small reckless country presents less of a risk than a very large moderately risk-taking nation.


click for ginormous graphic
US risk banks
Source: NYU VLAB


Category: Credit, Fixed Income/Interest Rates, Regulation

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

8 Responses to “Global Systemic Risk”

  1. jaymaster says:

    If I read it correctly, Europe combined is about 4X larger than the US.

    $1.4T vs $350B.

    That’s pretty scary….

  2. Francisco Bandres de Abarca says:

    Speaking of systemic risk and it’s measurement . . . isn’t it interesting that the Federal Reserve does not measure systemic leverage? Golly, I would think that–if an organization wishes to have a firm grip on measuring and, in large part, controlling the global economy–you would want to measure systemic leverage. Sure, one could assume that the relationship of interest rate to leverage is much like that of temperature to pressure, but why not measure the other side of that relationship? Gosh, maybe it is really tough to measure systemic leverage comprehensively. That, or it assists in establishing credible deniability when the fecal matter hits the fan blades. Criminal negligence, you say? Oh dear!

  3. Chief Tomahawk says:

    Two observations:

    1) France?!? WTF?

    2) Where-o-where is Russia?????? Don’t tell me they’re the most responsible!

    • RobC says:

      Russia can be found by listing European firms and selecting “Russian Federation” from the country drop-down box in the display options. Russia should be listed in Asia, as well, but currently it is not.

  4. Alex says:

    Wells Fargo doesn’t even make the list. Worth a second look.

    • RobC says:

      Wells Fargo ranks 248 / 252 firms in the Americas. To see it on the list, increase the number in the “Firms to display” box in the display options. Admittedly, the firm seems quite safe using the SRISK measure, as it has a negative SRISK.

  5. Angryman1 says:

    That doesn’t tell you of the real risk. Risk is real assets with real debt. While the house of Morgan has alot of “systemic” debt, they have bunch of assets as well which may make them more bullet proof than thought.

  6. [...] “In a world in which investors have different views, new securities won’t necessarily reduce risks,” Simsek said in an MIT interview. “People bet on their views. And betting [what Simsek labels “speculative variance”] is inherently a risk-increasing activity.” (For evidence of current systemic risk levels via NYU’s VLAB, see helpful posts from Barry Ritholtz here and here.) [...]