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Analysing Systemic Risk in the Chinese Banking System
Author(s) -
Huang Qiubin,
De Haan Jakob,
Scholtens Bert
Publication year - 2019
Publication title -
pacific economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.34
H-Index - 33
eISSN - 1468-0106
pISSN - 1361-374X
DOI - 10.1111/1468-0106.12212
Subject(s) - systemic risk , china , index (typography) , expected shortfall , vulnerability (computing) , financial crisis , value at risk , value (mathematics) , business , economics , actuarial science , financial system , finance , risk management , statistics , computer science , geography , macroeconomics , mathematics , computer security , archaeology , world wide web
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.