Measuring the systemic risk contribution of financial institutes in China based on CoES model

被引：0
|
作者：
Zhang B. [1 ]
Wang S. [2 ]
Wei Y. [2 ,3 ]
Zhao X. [4 ]
机构：
[1] School of Economics and Management, Beihang University, Beijing
[2] Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing
[3] Center for Forecasting Science, Chinese Academy of Sciences, Beijing
[4] School of Economics, Central University of Finance and Economics, Beijing
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2018年 / 38卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Financial institutes; Systemic risk; ΔCoES; ΔCoVaR;
D O I：
10.12011/1000-6788(2018)03-0565-11
中图分类号：
学科分类号：
摘要：
To measure the systemic risk contribution of the financial institutes in China more accurately and to avoid financial risk events, a new method named CoES model is proposed based on the mean value of tail loss. Compared to the traditional CoVaR model, this method pays more attention to the mean value of tail loss than the expected loss on one single quantile, which could provide more accurate information for the supervision when capturing the systemic risk of financial system. The new method is utilized to measure the systemic risk contributions of 21 financial institutions in China from 2007 to 2016. The empirical results show that: 1) the CoVaR model may underestimate the systemic risk of financial institutes; 2) the banking industry brings the largest systemic risk contribution to the whole financial system, followed by insurance, real estate and diversified financial industry; 3) among banking industry, the systemic risk contributions of Industrial and Commercial Bank of China and Bank of China are the largest, which should be the key regulatory objects; 4) compared with the banking and real estate industry, the insurance industry and the diversified financial industry own higher VaR value and their systemic risk contributions are relatively lower, so the regulators could pay more attention to their own risk management. © 2018, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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页码：565 / 575
页数：10
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