Risk.net

S-Risk: “just plain wrong”?

S-Risk, a systemic risk measure developed by Nobel prize-winning economist Robert Engle, identifies Prudential Financial and Metlife as the riskiest financial companies in the US. But this is hotly disputed by insurers, who argue the methodology ignores fundamental differences between banking and insurance activities. The chief risk officer of a large US insurance company says the S-Risk rankings are “just plain wrong”. His counterpart at another firm says the measure “does a terrible job of actually gauging the vulnerability” of insurers to large losses.

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