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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.
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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

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