Systemic risk in Chinese financial industries

A vine copula grouped CoVaR approach

Bibliographic Data

ID15066355
AuthorsXiaozhen Hao (Zhejiang Gongshang University), Zhenlong Chen (0000-0002-0598-3099, Zhejiang Gongshang University, corresponding author)
Year2022
Volume35
Issue1
Pages2747-2763
Publication date2022-12-31
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueEconomic Research-Ekonomska Istraživanja (JOURNAL)
Journal identifiersISSN: 1331-677X • E-ISSN: 1848-9664
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/1331677x.2021.1977673
OpenAlexW3204329284
LanguageEN
References cited24

This paper investigates systemic risk in Chinese financial industries by constructing a vine copula grouped CoVaR model, which accounts for the fact that various sub-industries are comprised of multiple financial institutions. The backtesting results indicate that the vine copula grouped model performs better in measuring the systemic risk in comparison to the vine copula model, which in turn validates the accuracy and effectiveness of the former. Moreover, the results indicate that banking is a major systemic risk contributor, even though it has a strong ability to resist risk. Additionally, the potential loss faced by the securities industry is big, but its systemic risk contribution is small. These results are of significance to investment decision and risk management

Actuarial science · Business · Econometrics · Economics · Financial crisis · Multivariate statistics · Statistics · Systemic risk · Tail dependence · Vine · Vine copula · Financial Risk and Volatility Modeling · Insurance and Financial Risk Management · Market Dynamics and Volatility · Mathematics

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