Data Acquisition

We collected data about how much capital each bank currently has in liquid assets, as well as observed each banks its liabilities.  We found the SEC filings for each bank and pulled the “cash and due from banks” amounts directly from the statements in the 10-K forms, which is each banks official annual financial statement. These are all average amounts, and for all financial purposes we will use this section as the starting equity for each bank, shown in the last column of Table 1.

Table 1 is a representation of the data we gathered about each bank in order to complete our real-world simulation. We wanted to focus purely on the largest banks in the United States. This was determined by listing the banks with the largest total assets, shown in the middle column of Table 1.

data-table

Table 1: Initial Equity of the ten largest banks in the US

Since we modeled a crisis, we only considered the current amount of cash that each bank has on hand instead of calculating the amount that the banks will be able to liquidate over a period. Our model is a measure of systemic risk for financial institutions at any given instant, and does not have a time dimension. 

The sources for these figures can be found here.