这个计算需要三个步骤。首先，我们估计当市场下跌大于2%时，这家公司股价的单日下跌幅度。 这叫做边际预期损失（MES）。这个指标融合了这家公司的波动率和它与市场的相关性，以及它在极端经济环境中的股价表现。 我们使用类似于V-Lab其他部分使用到的的不对称波动率，相关关系和Copula方法来估计这些变量。 第二步，外推到一个金融危机情景，涉及更大的跌幅和更长的周期。最后，用危机中的股价损失预期、当前股票市值以及未偿还贷款价值一起决定公司要度过类似程度的金融危机需要多少资本储备。通常要求一家公司有相对资产净值至少8%的资本储备。
系统风险指标 SRISK% 衡量这家公司在一场经济危机中的预计资本损失占金融行业资本损失的百分比。拥有高SRISK%值的公司不仅是经济危机中的最大损失者，而且是产生金融危机或延迟金融危机周期的原因之一。
The SRISK page of VINSIGHT presents a variety of risk measures for major countries and China financials. These measures are updated weekly and reveal several dimensions of risk. Historical estimates of each of these risk measures can be plotted to see the changing performance of SRISK.
A financial firm will be unable to function when the value of its equity falls to a sufficiently small fraction of its outstanding liabilities. In good times, such a firm will likely be acquired, may be able to raise new capital or may face an orderly bankruptcy. If this capital shortage occurs at a time when the financial sector is already financially constrained, then the government faces the question of whether to rescue the firm with taxpayer money as other avenues are no longer available. In the theoretical analysis of Acharya, Pederson, Phillipon and Richardson (2010), such a capital shortage is damaging to the real economy as the failure of this firm will have repercussions throughout the financial and real sectors. Consequently a firm is systemically risky if it is likely to face a capital shortage just when the financial sector itself is weak.
The analysis presented in this web site seeks to measure these concepts for China financials. The program calculates the expected capital shortage faced by a firm in a potential future financial crisis. Conceptually this calculation is like the stress tests that are regularly applied to financial firms, however here it is done with only publicly available information and is quick and inexpensive to compute.
This calculation takes three steps. First it estimates the daily drop in equity value of this firm that would be expected if the aggregate market falls more than 2%. This is called Marginal Expected Shortfall or MES. The measure incorporates the volatility of the firm and its correlation with the market, as well as its performance in extremes. These are estimated using asymmetric volatility, correlation and copula methods similar to those in other sections of V-Lab. In a second step this is extrapolated to a financial crisis which involves a much greater fall over a much greater time period. Finally, equity losses expected in a crisis are combined with current equity market value and outstanding measures of debt to determine how much capital would be needed in such a crisis. A firm is assumed to require at least 8% capital relative to its asset value.
The Systemic Risk Contribution, SRISK%, is the percentage of financial sector capital shortfall that would be experienced by this firm in the event of a crisis. Firms with a high percentage of capital shortfall in a crisis are not only the biggest losers in a crisis but also are the firms that create or extend the crisis.