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Analyzing systemic risk in the Chinese banking system

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dc.contributor.authorHuang, Qiubin
dc.contributor.authorde Haan, Jakob
dc.contributor.authorScholtens, Bert
dc.date.accessioned2019-03-02T00:37:09Z
dc.date.available2019-03-02T00:37:09Z
dc.date.issued2019-05-20
dc.identifier248904838
dc.identifier8858a2b5-02b3-4a97-b320-473ce815a9d3
dc.identifier85014122236
dc.identifier.citationHuang , 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/10.1111/1468-0106.12212en
dc.identifier.issn1468-0106
dc.identifier.otherORCID: /0000-0001-5774-5191/work/69835027
dc.identifier.urihttps://hdl.handle.net/10023/17199
dc.description.abstractWe 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.
dc.format.extent25
dc.format.extent583262
dc.language.isoeng
dc.relation.ispartofPacific Economic Reviewen
dc.subjectSystemic risken
dc.subjectChinese banksen
dc.subjectCoVaRen
dc.subjectMarginal expected shortfallen
dc.subjectHG Financeen
dc.subjectNDASen
dc.subject.lccHGen
dc.titleAnalyzing systemic risk in the Chinese banking systemen
dc.typeJournal articleen
dc.contributor.institutionUniversity of St Andrews. School of Managementen
dc.contributor.institutionUniversity of St Andrews. Centre for Responsible Banking and Financeen
dc.identifier.doi10.1111/1468-0106.12212
dc.description.statusPeer revieweden
dc.date.embargoedUntil2019-03-02


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