Arbeitspapier
Analyzing Systemic Risk in the Chinese Banking System
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. Although these measures show different patterns, our results suggest that systemic risk in the Chinese banking system decreased after the financial crisis, but started rising in 2014. Compared to the banking systems of Korea and the US, we find that Chinese banks are at greater risk according to the CoVaR, the SII and the VI approaches, but have the lowest MES.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 5513
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
systemic risk
Chinese banking system
CoVaR
capital shortfall
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Huang, Qiubin
de Haan, Jakob
Scholtens, Bert
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Huang, Qiubin
- de Haan, Jakob
- Scholtens, Bert
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2015
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