Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach

被引：9
|
作者：
Wu, Fei [1 ]
Zhang, Zhiwei [2 ]
Zhang, Dayong [1 ]
Ji, Qiang [3 ,4 ]
机构：
[1] Southwestern Univ Finance & Econ, Res Inst Econ & Management, Chengdu, Peoples R China
[2] Nanjing Univ Aeronaut & Astronaut, Coll Econ & Management, Nanjing, Peoples R China
[3] Chinese Acad Sci, Inst Sci & Dev, Beijing, Peoples R China
[4] Univ Chinese Acad Sci, Sch Publ Policy & Management, Beijing, Peoples R China
来源：
ANNALS OF OPERATIONS RESEARCH | 2023年 / 330卷 / 1-2期
基金：
中国国家自然科学基金;
关键词：
Financial system; Systemically important financial institution; Risk spillovers; Copula; Delta CoVaR; UPSIDE RISK SPILLOVERS; STOCK MARKETS; CAPITAL SHORTFALL; EXCHANGE-RATES; DEPENDENCE; CONNECTEDNESS; BANKING; CONTAGION; NETWORK; OIL;
D O I：
10.1007/s10479-021-04176-z
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We examine the risk spillovers in the Chinese financial system by adopting a time-varying copula-CoVaR approach. We first identify the systemically important financial institutions for each industry group in China's financial sector in a dynamic context. We then find strong evidence of upside and downside risk spillovers between these key institutions and the financial system, by quantifying value at risk (VaR), conditional VaR (CoVaR) and delta CoVaR (Delta CoVaR) through time-varying copulas. The empirical results further reveal asymmetric downside and upside risk spillover effects, indicating asymmetric hedging strategies for investors during market upturns and downturns.
引用
收藏
页码：119 / 153
页数：35
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