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Measurement and Forecasting of Systemic Risk: A Vine Copula Grouped-CoES Approach.
- Source :
-
Mathematics (2227-7390) . Apr2024, Vol. 12 Issue 8, p1233. 18p. - Publication Year :
- 2024
-
Abstract
- Measuring systemic risk plays an important role in financial risk management to control systemic risk. By means of a vine copula grouped-CoES method, this paper aims to measure the systemic risk of Chinese financial markets. The empirical study indicates that the banking industry has a low risk and a strong ability to resist risks, but also contributes the most of the systemic risk. On the other hand, insurance companies and securities have high ES but low Δ CoES, indicating their low risk tolerance and small contribution to the systemic risk. Furthermore, this study employs a sliding window in Monte Carlo simulation to forecast systemic risk. The findings of this paper suggest that different types of financial industries should adopt different systemic risk measures. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 22277390
- Volume :
- 12
- Issue :
- 8
- Database :
- Academic Search Index
- Journal :
- Mathematics (2227-7390)
- Publication Type :
- Academic Journal
- Accession number :
- 176878968
- Full Text :
- https://doi.org/10.3390/math12081233