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
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page 2747-2763
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cite
APA 6th Edition
Hao, X. & Chen, Z. (2022). Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach. Economic research - Ekonomska istraživanja, 35 (1), 2747-2763. https://doi.org/10.1080/1331677X.2021.1977673
MLA 8th Edition
Hao, Xiaozhen and Zhenlong Chen. "Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach." Economic research - Ekonomska istraživanja, vol. 35, no. 1, 2022, pp. 2747-2763. https://doi.org/10.1080/1331677X.2021.1977673. Accessed 15 Jun. 2024.
Chicago 17th Edition
Hao, Xiaozhen and Zhenlong Chen. "Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach." Economic research - Ekonomska istraživanja 35, no. 1 (2022): 2747-2763. https://doi.org/10.1080/1331677X.2021.1977673
Harvard
Hao, X., and Chen, Z. (2022). 'Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach', Economic research - Ekonomska istraživanja, 35(1), pp. 2747-2763. https://doi.org/10.1080/1331677X.2021.1977673
Vancouver
Hao X, Chen Z. Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach. Economic research - Ekonomska istraživanja [Internet]. 2022 [cited 2024 June 15];35(1):2747-2763. https://doi.org/10.1080/1331677X.2021.1977673
IEEE
X. Hao and Z. Chen, "Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach", Economic research - Ekonomska istraživanja, vol.35, no. 1, pp. 2747-2763, 2022. [Online]. https://doi.org/10.1080/1331677X.2021.1977673
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
https://hrcak.srce.hr/302480
Publication date:
31.3.2023.
Visits: 187
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