Original scientific paper
https://doi.org/10.1080/1331677X.2021.1977673
Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach
Xiaozhen Hao
Zhenlong Chen
Abstract
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.
Keywords
Chinese financial industries; systemic risk; vine copula grouped model; CoVaR; backtesting
Hrčak ID:
302480
URI
Publication date:
31.3.2023.
Visits: 187 *