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VAR and Stress Tests : The Impact of Fat-Tail Risk and Systemic Risk on Commercial Banks in Hong Kong and China
So, Jacky Yuk-chow - 2017
and bank diversification, which are affected by the heaviness of the tail and limited liability of bank charter …
Persistent link: https://www.econbiz.de/10012953018
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Systemic risk of China's commercial banks during financial turmoils in 2010-2020 : a MIDAS-QR based CoVaR approach
Liu, Shuting; Xu, Qifa; Jiang, Cuixia - In: Applied economics letters 28 (2021) 18, pp. 1600-1609
Persistent link: https://www.econbiz.de/10012626719
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VaR and stress tests : the impact of fat-tail risk and systemic risk on commercial banks in Hong Kong and China
So, Jacky C.; Tony U - 2017
Persistent link: https://www.econbiz.de/10012201504
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Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
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Measuring the systemic importance of Chinese banks : a comparison of different risk measurement models
Cai, Chunlin - In: The journal of risk model validation 17 (2023) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10014485590
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The contribution of shadow banking risk spillover to the commercial banks in China : based on the DCC-BEKK-MVGARCH-Time-Varying CoVaR Model
Zhu, Chen - In: Electronic commerce research 23 (2023) 4, pp. 2153-2181
Persistent link: https://www.econbiz.de/10014418081
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Bank tail risk in China
Yang, Huan; Cai, Jun; Huang, Lin - In: International studies of economics 19 (2024) 2, pp. 186-222
In this study, we investigate the tail dependency between bank stocks in China and 35 common risk factors. We measure … from Chinese bank stocks. The univariate conditional tail risk is considerably higher than the unconditional tail risk. The … single risk factor. In general, there is a stronger cross-market tail linkage between emerging market risk factors and bank …
Persistent link: https://www.econbiz.de/10015063904
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A research on interbank loan interest rate fluctuation characteristics and the VaR risk of China's commercial banks
Wang, Baoqian; Wang, Cheng; Zhang, Xikun - In: Modern economy 3 (2012) 6, pp. 759-765
Persistent link: https://www.econbiz.de/10009720476
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Using BS-PSD-LDA approach to measure operational risk of Chinese commercial banks
Wang, Zongrun; Wang, Wuchao; Chen, Xiaohong; Jin, Yanbo; … - In: Economic modelling 29 (2012) 6, pp. 2095-2103
Persistent link: https://www.econbiz.de/10009673862
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Measuring systemic risk of china's listed banks
Zhang, Ping; Wang, Yiru; Zhao, Min; Yang, Tzu-Yi - In: Financial studies 25 (2021) 3, pp. 6-29
After the financial crisis in 2008, the world becamemore aware of the importance of the systemic risk. Within China's financial system, commercial banks have a dominant position. Therefore, the study of systemic risk of the banking industry in China has an important and real meaning. The present...
Persistent link: https://www.econbiz.de/10012664694