Analyzing systemic risk in the Chinese banking system
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We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China for the 2007-2014 period. We find that these measures show different patterns, capturing different aspects of systemic risk of Chinese banks. However, rankings of banks based on these measures are significantly correlated. The time series results for the CoVaR and MES measures suggest that systemic risk in the Chinese banking system decreased after the global financial crisis but started rising in 2014.
Huang , Q , de Haan , J & Scholtens , B 2019 , ' Analyzing systemic risk in the Chinese banking system ' , Pacific Economic Review , vol. 24 , no. 2 , pp. 348-372 . https://doi.org/10.1111/1468-0106.12212
Pacific Economic Review
Copyright © 2017, John Wiley & Sons Australia, Ltd. This work is made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1111/1468-0106.12212
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