Open AccessExploring Systemic Risk of Chinese SIFIs using a Simplified SRISK Model
Author(s) -
Muhammad Jamal Haider,
Adrian Hemmes,
Changchun Gao,
Tayyaba Akram
Publication year - 2018
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v15n3.2017.67096
Subject(s) - systemic risk , volatility (finance) , china , financial crisis , context (archaeology) , vulnerability (computing) , business , expected shortfall , value at risk , economics , financial system , financial economics , risk management , finance , political science , computer science , geography , macroeconomics , computer security , archaeology , law
The exposure of banks to systemic risk has been rising in an ever morefinancialized and interconnected economy. In China, economic slowdown andmore non-performing loans mean that the financial system has operate in anincreasingly stressed environment, strengthening the vulnerability of futuresystemic shortfall. In this study, systemic risk in Chinese systematicallyimportant financial institutions (SIFIs) is analyzed using a simplifiedSRISK model. The results are set into historical context, itscharacteristics are illustrated, and compared to an existing risk index.With that the study contributes to the existing literature by exploringapplication the SRISK model from a regulatory framework and illustratingsome of its implications on Chinese SIFIs. The key findings include (1) anincreasing trend of systemic risk exposure and (2) evidence for a divergencebetween volatility and systemic risk since the 2008 financialcrisis.