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Analyzing systemic risk in the Chinese banking system

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Analyzing systemic risk in the Chinese banking system. / Huang, Qiubin; de Haan, Jakob; Scholtens, Bert.

In: Pacific Economic Review, Vol. 24, No. 2, 20.05.2019, p. 348-372.

Research output: Contribution to journalArticle

Harvard

Huang, Q, de Haan, J & Scholtens, B 2019, 'Analyzing systemic risk in the Chinese banking system', Pacific Economic Review, vol. 24, no. 2, pp. 348-372. https://doi.org/10.1111/1468-0106.12212

APA

Huang, Q., de Haan, J., & Scholtens, B. (2019). Analyzing systemic risk in the Chinese banking system. Pacific Economic Review, 24(2), 348-372. https://doi.org/10.1111/1468-0106.12212

Vancouver

Huang Q, de Haan J, Scholtens B. Analyzing systemic risk in the Chinese banking system. Pacific Economic Review. 2019 May 20;24(2):348-372. https://doi.org/10.1111/1468-0106.12212

Author

Huang, Qiubin ; de Haan, Jakob ; Scholtens, Bert. / Analyzing systemic risk in the Chinese banking system. In: Pacific Economic Review. 2019 ; Vol. 24, No. 2. pp. 348-372.

Bibtex - Download

@article{8858a2b502b34a97b320473ce815a9d3,
title = "Analyzing systemic risk in the Chinese banking system",
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.",
keywords = "Systemic risk, Chinese banks, CoVaR, Marginal expected shortfall",
author = "Qiubin Huang and {de Haan}, Jakob and Bert Scholtens",
year = "2019",
month = "5",
day = "20",
doi = "10.1111/1468-0106.12212",
language = "English",
volume = "24",
pages = "348--372",
journal = "Pacific Economic Review",
issn = "1468-0106",
publisher = "Wiley",
number = "2",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Analyzing systemic risk in the Chinese banking system

AU - Huang, Qiubin

AU - de Haan, Jakob

AU - Scholtens, Bert

PY - 2019/5/20

Y1 - 2019/5/20

N2 - 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.

AB - 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.

KW - Systemic risk

KW - Chinese banks

KW - CoVaR

KW - Marginal expected shortfall

U2 - 10.1111/1468-0106.12212

DO - 10.1111/1468-0106.12212

M3 - Article

VL - 24

SP - 348

EP - 372

JO - Pacific Economic Review

JF - Pacific Economic Review

SN - 1468-0106

IS - 2

ER -

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