Systemic risk
How much each big US bank co-moves with system-wide tail risk
Four academic market-based measures, computed from bank equity returns only: LRMES (the returns-based core of SRISK), MES, Delta-CoVaR, and the system-level absorption ratio. This is not a dollar SRISK capital-shortfall level (that needs consolidated-holding-company market cap and book debt, which this repo does not hold), and it is not investment advice.
System-mean LRMES, full window
LRMES is each bank’s expected equity loss given a fixed −40% systemic shock. Averaged across the covered banks it is near-flat by design: it tracks systematic exposure, not the current level of market stress, so it does not and should not spike the way a dollar SRISK level would. The mild 2020 rise reflects elevated conditional betas in the COVID crash.
Source: FinObservatory systemic engine (absorbed from argus), driven unmodified Month-end mean across covered banks; GARCH(1,1)+DCC(1,1) filter, Brownlees-Engle 2017. Methodology
Top LRMES contributors
The ten banks with the highest latest LRMES, the returns-based systemic-vulnerability core of SRISK. Share is each bank’s LRMES as a fraction of the aggregate across all 28 covered banks. Regionals dominate the top of the list, consistent with the 2023 episode.
| # | Bank | LRMES | LRMES share | MES |
|---|---|---|---|---|
| 1 | ZION Zions Bancorporation, N.A. | 0.4960 | 4.9% | -0.0464 |
| 2 | WAL Western Alliance Bancorporation | 0.4952 | 4.9% | -0.0597 |
| 3 | CFG Citizens Financial Group, Inc. | 0.4464 | 4.4% | -0.0314 |
| 4 | RF Regions Financial Corporation | 0.4331 | 4.3% | -0.0318 |
| 5 | HBAN Huntington Bancshares Incorporated | 0.4304 | 4.2% | -0.0282 |
| 6 | ALLY Ally Financial Inc. | 0.4283 | 4.2% | -0.0354 |
| 7 | FITB Fifth Third Bancorp | 0.4124 | 4.0% | -0.0298 |
| 8 | FHN First Horizon Corporation | 0.4093 | 4.0% | -0.0380 |
| 9 | EWBC East West Bancorp, Inc. | 0.4090 | 4.0% | -0.0344 |
| 10 | KEY KeyCorp | 0.4068 | 4.0% | -0.0308 |
Source: FinObservatory systemic engine (absorbed from argus), driven unmodified Each bank at its own most-recent observation; LRMES per Brownlees-Engle 2017, MES per Acharya et al. 2017. Methodology
Delta-CoVaR leaders
Banks whose own distress most worsens the system’s tail Value-at-Risk (most negative first). Delta-CoVaR weights toward the largest, most-connected names, a different lens from LRMES.
| # | Bank | Delta-CoVaR | As of |
|---|---|---|---|
| 1 | SCHW The Charles Schwab Corporation | -0.0397 | Jul 6, 2026 |
| 2 | BAC Bank of America Corporation | -0.0368 | Jul 6, 2026 |
| 3 | JPM JPMorgan Chase & Co. | -0.0361 | Jul 6, 2026 |
| 4 | CMA Comerica Incorporated(stale) | -0.0361 | Jan 30, 2026 |
| 5 | COF Capital One Financial Corporation | -0.0360 | Jul 6, 2026 |
| 6 | WFC Wells Fargo & Company | -0.0360 | Jul 6, 2026 |
| 7 | HBAN Huntington Bancshares Incorporated | -0.0359 | Jul 6, 2026 |
| 8 | MTB M&T Bank Corporation | -0.0353 | Jul 6, 2026 |
| 9 | BK The Bank of New York Mellon Corporation | -0.0351 | Jul 2, 2026 |
| 10 | STT State Street Corporation | -0.0342 | Jul 6, 2026 |
Source: FinObservatory systemic engine (absorbed from argus), driven unmodified Rolling quantile regression, 252-day window, q = 0.05; Adrian-Brunnermeier 2016. Methodology
Absorption ratio, 63-day window
The fraction of bank-return variance captured by the top eigenvalues: high means tightly-unified co-movement (a fragile, coupled system). It spikes to its full-sample peak in the March 2020 crash, when the broad-market shock unified bank returns. It does not rise in the 2023 regional episode, which split regional from money-center fortunes (a dispersion event) rather than unifying them, exactly the property the measure is built to detect.
Source: FinObservatory systemic engine (absorbed from argus), driven unmodified Rolling PCA, top 20% of eigenvalues, 27-bank fresh panel; Kritzman et al. 2011. Shaded: COVID crash and the 2023 SVB / regionals episode. Methodology
All covered banks
Every covered bank at its own most-recent observation. Click a column header to sort; click a row to expand its four measures and definitions. A single dashboard rather than per-bank pages: the universe is small (28 banks) and the listed-BHC tickers do not map cleanly onto the FDIC subsidiary-bank CERTs used by the bank scorecards.
| Bank | ||||
|---|---|---|---|---|
| ▸ ZION Zions Bancorporation, N.A. | 0.4960 | 4.9% | -0.0464 | -0.0288 |
| ▸ WAL Western Alliance Bancorporation | 0.4952 | 4.9% | -0.0597 | -0.0325 |
| ▸ CFG Citizens Financial Group, Inc. | 0.4464 | 4.4% | -0.0314 | -0.0290 |
| ▸ RF Regions Financial Corporation | 0.4331 | 4.3% | -0.0318 | -0.0299 |
| ▸ HBAN Huntington Bancshares Incorporated | 0.4304 | 4.2% | -0.0282 | -0.0359 |
| ▸ ALLY Ally Financial Inc. | 0.4283 | 4.2% | -0.0354 | -0.0325 |
| ▸ FITB Fifth Third Bancorp | 0.4124 | 4.0% | -0.0298 | -0.0300 |
| ▸ FHN First Horizon Corporation | 0.4093 | 4.0% | -0.0380 | -0.0301 |
| ▸ EWBC East West Bancorp, Inc. | 0.4090 | 4.0% | -0.0344 | -0.0268 |
| ▸ KEY KeyCorp | 0.4068 | 4.0% | -0.0308 | -0.0287 |
| ▸ MTB M&T Bank Corporation | 0.3975 | 3.9% | -0.0270 | -0.0353 |
| ▸ WFC Wells Fargo & Company | 0.3932 | 3.9% | -0.0256 | -0.0360 |
| ▸ USB U.S. Bancorp | 0.3900 | 3.8% | -0.0272 | -0.0287 |
| ▸ TFC Truist Financial Corporation | 0.3878 | 3.8% | -0.0281 | -0.0326 |
| ▸ PNC The PNC Financial Services Group, Inc. | 0.3755 | 3.7% | -0.0263 | -0.0301 |
| ▸ CMA Comerica Incorporatedstale | 0.3724 | 3.7% | -0.0454 | -0.0361 |
| ▸ FCNCA First Citizens BancShares, Inc. | 0.3716 | 3.6% | -0.0374 | -0.0327 |
| ▸ COF Capital One Financial Corporation | 0.3508 | 3.4% | -0.0426 | -0.0360 |
| ▸ BAC Bank of America Corporation | 0.3338 | 3.3% | -0.0181 | -0.0368 |
| ▸ STT State Street Corporation | 0.3101 | 3.0% | -0.0265 | -0.0342 |
| ▸ NTRS Northern Trust Corporation | 0.2976 | 2.9% | -0.0234 | -0.0316 |
| ▸ AXP American Express Company | 0.2912 | 2.9% | -0.0310 | -0.0264 |
| ▸ BK The Bank of New York Mellon Corporation | 0.2905 | 2.9% | -0.0126 | -0.0351 |
| ▸ JPM JPMorgan Chase & Co. | 0.2755 | 2.7% | -0.0148 | -0.0361 |
| ▸ SCHW The Charles Schwab Corporation | 0.2705 | 2.7% | -0.0137 | -0.0397 |
| ▸ MS Morgan Stanley | 0.2595 | 2.5% | -0.0218 | -0.0332 |
| ▸ C Citigroup Inc. | 0.2529 | 2.5% | -0.0196 | -0.0336 |
| ▸ GS The Goldman Sachs Group, Inc. | 0.1972 | 1.9% | -0.0229 | -0.0325 |
Source: Equity returns via Yahoo Finance (argus collector), internal use LRMES/MES/CoVaR/Delta-CoVaR from bank equity returns; internal-use Yahoo-derived input, display aggregates only. Methodology
G-SIB designations
The official supervisory counterpart to the market-based measures above: the Financial Stability Board’s annual list of global systemically important banks and their capital-surcharge buckets. The 2025 list names 29 banks; JP Morgan Chase sits alone in the top occupied bucket (4), as it has every bucketed year but 2020. These are consolidated holding-company designations, so the names are not linked to the FDIC-subsidiary bank scorecards, which key on insured-bank CERTs, a different legal entity.
FSB 2025 list, by bucket
| Bucket | Banks |
|---|---|
| 41 | JP Morgan ChaseUSA |
| 34 | Bank of AmericaUSA, CitigroupUSA, HSBCGBR, Industrial and Commercial Bank of ChinaCHN |
| 29 | Agricultural Bank of ChinaCHN, BNP ParibasFRA, Bank of ChinaCHN, BarclaysGBR, China Construction BankCHN, Goldman SachsUSA, Groupe Crédit AgricoleFRA, Mitsubishi UFJ FGJPN, UBSCHE |
| 115 | Bank of CommunicationsCHN, Bank of New York MellonUSA, Deutsche BankDEU, Groupe BPCEFRA, INGNLD, Mizuho FGJPN, Morgan StanleyUSA, Royal Bank of CanadaCAN, SantanderESP, Société GénéraleFRA, Standard CharteredGBR, State StreetUSA, Sumitomo Mitsui FGJPN, Toronto DominionCAN, Wells FargoUSA |
Bucket history, 2011–2025
Each cell is the bank’s FSB bucket that year; a darker fill is a higher bucket (larger capital surcharge). A blank cell means the bank was not on that year’s list. The 2011 column carries no bucket (the FSB introduced buckets in 2012), so it marks designation only. Current members first, then banks that have since left the list.
| Bank | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 | 25 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| JP Morgan ChaseUSA | · | 4 | 4 | 4 | 4 | 4 | 4 | 4 | 4 | 3 | 4 | 4 | 4 | 4 | 4 |
| Bank of AmericaUSA | · | 2 | 2 | 2 | 2 | 3 | 3 | 2 | 2 | 2 | 2 | 3 | 3 | 2 | 3 |
| CitigroupUSA | · | 4 | 3 | 3 | 3 | 4 | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 |
| HSBCGBR | · | 4 | 4 | 4 | 4 | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 | 3 |
| Industrial and Commercial Bank of ChinaCHN | 1 | 1 | 1 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 3 | ||
| Agricultural Bank of ChinaCHN | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 2 | 2 | 2 | |||
| Bank of ChinaCHN | · | 1 | 1 | 1 | 1 | 1 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 |
| BarclaysGBR | · | 3 | 3 | 3 | 3 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 |
| BNP ParibasFRA | · | 3 | 3 | 3 | 3 | 3 | 2 | 2 | 2 | 2 | 3 | 2 | 2 | 2 | 2 |
| China Construction BankCHN | 1 | 1 | 2 | 1 | 1 | 2 | 2 | 1 | 2 | 2 | 2 | ||||
| Goldman SachsUSA | · | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 1 | 2 | 2 | 2 | 2 | 2 |
| Groupe Crédit AgricoleFRA | · | 1 | 2 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 2 | 2 |
| Mitsubishi UFJ FGJPN | · | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 | 2 |
| UBSCHE | · | 2 | 2 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 2 | 2 | 2 |
| Bank of CommunicationsCHN | 1 | 1 | 1 | ||||||||||||
| Bank of New York MellonUSA | · | 2 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| Deutsche BankDEU | · | 4 | 3 | 3 | 3 | 3 | 3 | 3 | 2 | 2 | 2 | 2 | 2 | 2 | 1 |
| Groupe BPCEFRA | · | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |
| INGNLD | · | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| Mizuho FGJPN | · | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| Morgan StanleyUSA | · | 2 | 2 | 2 | 2 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| Royal Bank of CanadaCAN | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | ||||||
| SantanderESP | · | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| Société GénéraleFRA | · | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| Standard CharteredGBR | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |
| State StreetUSA | · | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| Sumitomo Mitsui FGJPN | · | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
| Toronto DominionCAN | 1 | 1 | 1 | 1 | 1 | 1 | 1 | ||||||||
| Wells FargoUSA | · | 1 | 1 | 1 | 1 | 2 | 2 | 2 | 2 | 1 | 1 | 1 | 1 | 1 | 1 |
| Credit SuisseCHE(left 2022) | · | 2 | 2 | 2 | 2 | 2 | 1 | 1 | 1 | 1 | 1 | 1 | |||
| UniCreditITA(left 2022) | · | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |||
| NordeaSWE(left 2017) | · | 1 | 1 | 1 | 1 | 1 | 1 | ||||||||
| Royal Bank of ScotlandGBR(left 2017) | · | 2 | 2 | 2 | 1 | 1 | 1 | ||||||||
| BBVAESP(left 2014) | 1 | 1 | 1 | ||||||||||||
| CommerzbankDEU(left 2011) | · | ||||||||||||||
| DexiaBEL(left 2011) | · | ||||||||||||||
| Lloyds Banking GroupGBR(left 2011) | · |
Source: FSB, 2025 List of Global Systemically Important Banks (G-SIBs), and 2011-2025 archive Transcribed verbatim from the FSB's annual PDF lists; buckets are the FSB capital-surcharge buckets (bucket 5 has never been populated). Jurisdiction is the bank's headquarters/home-regulator domicile, assigned here (the FSB lists do not print it). Methodology
Long-run academic benchmarks
Three independent academic series shown as context, not systemic-risk measures: none feed the LRMES, MES, CoVaR, or absorption-ratio computations above.
Market-wide volatility regime, 1927–2026
Rolling 12-month annualized volatility of the Fama-French US market excess return (Mkt-RF). Where the absorption ratio above covers 28 banks since 2020 (27 in the fresh PCA panel), this is the whole US equity market back to 1926, giving a century-long scale for “how volatile is right now.” Latest reading 13.0% (May 31, 2026), the 42nd percentile of the full 1927–2026 distribution. The Depression peaked nearest 71% (1933); the single month of October 1987 (Black Monday) alone returned -23.19%.
Source: Ken French Data Library (Fama-French factors) Free with citation, academic research and teaching use; std. dev. of monthly Mkt-RF x sqrt(12). Methodology
Banking-industry cost of capital and beta
Damodaran’s US industry cross-section (2026-01-05): money-center and regional banks against the whole-market baseline. A textbook CAPM/WACC yardstick alongside the market-implied LRMES/MES/CoVaR measures above.
| Industry (US) | Firms | Levered beta | Unlevered beta | Cost of equity | WACC |
|---|---|---|---|---|---|
| Bank (Money Center) | 15 | 0.76 | 0.34 | 7.3% | 5.0% |
| Banks (Regional) | 568 | 0.40 | 0.29 | 5.7% | 5.0% |
| Total Market | 5994 | 0.91 | 0.72 | 8.0% | 7.0% |
Source: Damodaran Online, NYU Stern (industry cost of capital and betas) Free, acknowledgement welcomed but not required; single cross-sectional snapshot, not a time series. Methodology
Eight centuries of global real interest rates
Schmelzing’s 7-year-averaged global real rate, plotted 1317–2018 (the 7-year averaging consumes the first years of the paper’s 1311–2018 window; not extended to today). The deep-history backdrop for the low- and negative-rate environment that shaped the risk-taking these measures track: 1.53% in 2018, against an all-time high of 18.1% (1379) and a low of -10.4% (1945).
Source: Schmelzing (2020), Bank of England SWP 845 Bank of England copyright; non-commercial re-use permitted. Series ends 2018, not extended to today. Methodology
See the full methodology for the measures, windows, universe, the engine bug worked around, the crisis-anchor validation, and why the dollar SRISK level is a documented open gap.