Analyzing systemic risk in the Chinese banking system

Qiubin Huang; Jakob de Haan; Bert Scholtens

doi:10.1111/1468-0106.12212

Analyzing systemic risk in the Chinese banking system

Qiubin Huang, Jakob de Haan, Bert Scholtens

Centre for Responsible Banking and Finance

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	348-372
Number of pages	25
Journal	Pacific Economic Review
Volume	24
Issue number	2
Early online date	2 Mar 2017
DOIs	https://doi.org/10.1111/1468-0106.12212
Publication status	Published - 20 May 2019

Keywords

Systemic risk
Chinese banks
CoVaR
Marginal expected shortfall

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10.1111/1468-0106.12212

PAER-16-03-0014R2
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
Accepted author manuscript, 570 KB

Cite this

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Analyzing systemic risk in the Chinese banking system

Abstract

Keywords

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