RESEARCH ON THE MEASUREMENT AND INFLUENCING FACTORS OF SYSTEMIC RISKS IN CHINESE FINANCIAL INSTITUTIONS IN CASE OF MAJOR PUBLIC EMERGENCIES

In the new context of major public emergencies, this paper will mainly study the measurement and influencing factors of systemic risks in Chinese financial institutions based on three dimensions: overall situation, industries, and institutions. First, it uses the DTW-MST network model to describe the dependence structure between financial institutions and between industries. It explores important institutional nodes of risk dependence from a network perspective. Then, it uses the time-varying Copula-CoVaR model to measure financial institutions' and industries' risk spillover effect on the whole financial system and analyze the characteristics and differences of risk spillover. Last, it uses the panel regression model to study the influencing factors of the risk spillover effect of financial institutions and explore the sources of systemic risks. The results show that: (1) Industrial Bank (CIB), Changjiang Securities (CJSC), and China Pacific Insurance (CPIC) are the central nodes of the banking, securities, and insurance industries, respectively. (2) The risk spillover effect is characterized by a significant asymmetry and thick tail, and negative news has a greater impact on the risk spillover effect. (3) The value at risk (VaR) and volatility of financial institutions have a significant positive correlation with the risk spillover effect, while the size of financial institutions has a significant negative correlation with the risk spillover effect.

Grantor dc:publisher

Temple University. Libraries

Year dc:date.issued

2023

Author dc:creator

• Huang, Qian

Advisors dc:contributor.advisor

• Bakshi, Gurdip
• Gao Bakshi, Xiaohui

Committee members dc:contributor.committeemember

• Bakshi, Gurdip
• Gao Bakshi, Xiaohui
• Tang, Cheng Yong
• Byzalov, Dmitri

• Finance
• CoVaR model
• Dependence structure
• DTW model
• Financial institutions
• Risk spillover effect

Statement dc:rights

• IN COPYRIGHT- This Rights Statement can be used for an Item that is in copyright. Using this statement implies that the organization making this Item available has determined that the Item is in copyright and either is the rights-holder, has obtained permission from the rights-holder(s) to make their Work(s) available, or makes the Item available under an exception or limitation to copyright (including Fair Use) that entitles it to make the Item available.

Licence dc:rights.uri

• http://rightsstatements.org/vocab/InC/1.0/

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/20.500.12613/8519

OAI identifier oai:identifier

oai:scholarshare.temple.edu:20.500.12613/8519