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Network structure, portfolio diversification and systemic risk

Li, Shouwei; Wang, Chao - In: Journal of management science and engineering 6 (2021) 2, pp. 235-245

We investigate the effect of portfolio diversification on banking systemic risk, where the network effect is incorporated. We analyze three kinds of interbank networks, namely, random networks, small-world networks and scale-free networks. We show that the effect of portfolio diversification on...

Persistent link: https://www.econbiz.de/10013206274

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334

Persistent link: https://www.econbiz.de/10014232647

Does diversification promote systemic risk?

Wang, Chao; Liu, Xiaoxing; He, Jianmin - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013449305

Nonparametric expected shortfall forecasting incorporating weighted quantiles

Storti, Giuseppe; Wang, Chao - In: International journal of forecasting 38 (2022) 1, pp. 224-239

Persistent link: https://www.econbiz.de/10013347785

Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach

Storti, Giuseppe; Wang, Chao - In: Journal of forecasting 42 (2023) 7, pp. 1648-1663

Persistent link: https://www.econbiz.de/10014432743