Skip to content

Research at St Andrews

Analyzing systemic risk in the Chinese banking system

Research output: Contribution to journalArticle

Author(s)

Qiubin Huang, Jakob de Haan, Bert Scholtens

School/Research organisations

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.
Close

Details

Original languageEnglish
Pages (from-to)348-372
Number of pages25
JournalPacific Economic Review
Volume24
Issue number2
Early online date2 Mar 2017
DOIs
Publication statusPublished - 20 May 2019

    Research areas

  • Systemic risk, Chinese banks, CoVaR, Marginal expected shortfall

Discover related content
Find related publications, people, projects and more using interactive charts.

View graph of relations

Related by author

  1. Sustainability and bank risk

    Scholtens, L. J. R. & Van 't Klooster, S., 10 Sep 2019, In : Palgrave Communications. 5, 1, p. 1-8 8 p., 105.

    Research output: Contribution to journalArticle

  2. Scientific approaches of community energy, a literature review

    van der Schoor, T. & Scholtens, L. J. R., 18 Jun 2019, Groningen: Centre for Energy Economics Research (CEER). 106 p. (CEER Policy Papers)

    Research output: Book/ReportBook

  3. Responsibility and performance relationship in the banking industry

    Gonenc, H. & Scholtens, B., 16 Jun 2019, In : Sustainability. 11, p. 1-52 52 p., 3329.

    Research output: Contribution to journalArticle

  4. The spot-forward relationship in the Atlantic salmon market

    Chen, X. & Scholtens, B., 13 Mar 2019, In : Reviews in Fisheries Science & Acquaculture. 27, 2, p. 142-151 10 p.

    Research output: Contribution to journalArticle

  5. Sudden stops of international fund flows: Occurrence and magnitude

    Li, S., de Haan, J. & Scholtens, L. J. R., 21 Jan 2019, In : Review of International Economics. 27, 1, p. 468-497 30 p.

    Research output: Contribution to journalArticle

ID: 248904838