The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of ...The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of Chinese listed commercial banks byconstructing the quantile CoVaR model. The study concluded that when an extreme risk event occurs, the overall risk spillovereffect of a single bank on the banking system is greater than the risk spillover effect of the banking system on a single bank, thevalue of VaR is smaller than the actual risk value when measuring the risk value of commercial banks and the CoVaR model ismore accurate in measuring systemic risk.展开更多
The shock of the global financial crisis sparked widespread concern across the world about systemic financial risk and led to the reexamination of regulatory mechanisms.The traditional principle of“too big to fail”u...The shock of the global financial crisis sparked widespread concern across the world about systemic financial risk and led to the reexamination of regulatory mechanisms.The traditional principle of“too big to fail”underwent a transformation into the new idea of“too interconnected to fail.”We used Directed Acyclic Graph(DAG)technology and network topology analysis to examine the dynamic evolution of global systemic financial risk and the risk trends in global financial markets from the perspective of network connectivity.Our findings show that financial markets in the Chinese Mainland are net receivers of risk spillovers and that systemic financial risk has a clear cross-market contagion effect due to a global volatility spillover scale of 64 percent.To maintain the stability and security of China’s financial markets,consideration should be given to the regulatory precept of“too interconnected to fail”in establishing macro-prudential risk prevention mechanisms.展开更多
By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper const...By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.展开更多
Population ageing and high financial leverage are two common problems .faced by the worM＇s major economies. The recent financial crisis proved that the two issues could lead to systemic risk if not handled properly. ...Population ageing and high financial leverage are two common problems .faced by the worM＇s major economies. The recent financial crisis proved that the two issues could lead to systemic risk if not handled properly. Based on dynamic panel data from 1980 to 2012 in 119 countries, this paper examines the impact of population ageing on financial leverage J？om an empirical point of view and finds that there is a signOqcant inverted U-shape relationship between the two. In addition, empirical studies show that after passing the ＂turning point＂ of ageing, there will be a marked increase in the probability of financial crisis during the ＂deleveraging＂ process. It can be projected from the empirical conclusions of this paper that China will likely enter the range of a turning point between 2019 and 2028. After that, population ageing, deleveraging and asset price collapse may have a ＂resonance＂ effect to severely impact the stability of the financial system. Therefore, China should shift to more proactive macro financial regulations as quickly as possible, as dynamic and robust management of financial leverage and forward-looking control of bubbles could ensure that the financial system remain flexible enough to avoid systemic risk to the greatest extent.展开更多
The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on grap...The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.展开更多
The potential demand on financial risk management has being increased considerably by the reason of Basel 11 regulations and instabilities in economy. In recent years, financial institutions and companies have been st...The potential demand on financial risk management has being increased considerably by the reason of Basel 11 regulations and instabilities in economy. In recent years, financial institutions and companies have been struggled for building up intensive financial risk management tools due to Basel II guidance on establishing financial self-assessment systems. In this respect, decision support system has a significant role on effectuating intensive financial risk management roadmap. In this study, a reformative financial risk management system is presented with the combination of determining financial risks with their importance, calculating risk scores and making suggestions based on detected risk scores by applying corrective actions. First, financial risk factors and indicators of these risk variables are selected and weights of these variables are specified by using fuzzy goal programming. After that, total risk scores are calculated and amendatory financial activities are appeared by means of expertons method which also provides possibilities of the alternative decisions. To illustrate the performance of integrated and multistage decision support system, a survey is applied on the end users.展开更多
文摘The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of Chinese listed commercial banks byconstructing the quantile CoVaR model. The study concluded that when an extreme risk event occurs, the overall risk spillovereffect of a single bank on the banking system is greater than the risk spillover effect of the banking system on a single bank, thevalue of VaR is smaller than the actual risk value when measuring the risk value of commercial banks and the CoVaR model ismore accurate in measuring systemic risk.
基金the phased result of “Research on Systematic Financial Risk Prevention Mechanisms in China Based on Structured Data Analysis”(17ZDA073)a major project of the National Social Science Fund of China.
文摘The shock of the global financial crisis sparked widespread concern across the world about systemic financial risk and led to the reexamination of regulatory mechanisms.The traditional principle of“too big to fail”underwent a transformation into the new idea of“too interconnected to fail.”We used Directed Acyclic Graph(DAG)technology and network topology analysis to examine the dynamic evolution of global systemic financial risk and the risk trends in global financial markets from the perspective of network connectivity.Our findings show that financial markets in the Chinese Mainland are net receivers of risk spillovers and that systemic financial risk has a clear cross-market contagion effect due to a global volatility spillover scale of 64 percent.To maintain the stability and security of China’s financial markets,consideration should be given to the regulatory precept of“too interconnected to fail”in establishing macro-prudential risk prevention mechanisms.
文摘By incorporating both the fire sales contagion mechanism and the bankruptcy contagion mechanism into a bank network model,this paper examines how risks are generated under dynamic shocks.In particular,this paper constructs systemic risk indicators suitable for analyzing multiple rounds of contagion under different shocks(time dimension)and from institutions and assets(spatial dimension).Indicators that measure the indirect relevance between institutions and between assets are also innovatively built.It is found that due to deleveraging or bankruptcy among a large number of banks,the systemic risk exhibits an upward trend marked by intermittent jumps under varying intensities of shocks.Risks are generated mainly through the fire sales contagion mechanism of deleveraging under small shocks,and through the bankruptcy contagion mechanism under large shocks.In terms of influencing factors,a stronger indirect relevance,a lower leverage skewness and a higher leverage level in the banking system lead to higher risks.In particular,the influence of leverage skewness on systemic risk is stronger than that of leverage level.
基金sponsored by the National Social Science Foundation of China(Grant No.12&ZD089)the National Natural Science Foundation of China(Grant No.71403277)
文摘Population ageing and high financial leverage are two common problems .faced by the worM＇s major economies. The recent financial crisis proved that the two issues could lead to systemic risk if not handled properly. Based on dynamic panel data from 1980 to 2012 in 119 countries, this paper examines the impact of population ageing on financial leverage J？om an empirical point of view and finds that there is a signOqcant inverted U-shape relationship between the two. In addition, empirical studies show that after passing the ＂turning point＂ of ageing, there will be a marked increase in the probability of financial crisis during the ＂deleveraging＂ process. It can be projected from the empirical conclusions of this paper that China will likely enter the range of a turning point between 2019 and 2028. After that, population ageing, deleveraging and asset price collapse may have a ＂resonance＂ effect to severely impact the stability of the financial system. Therefore, China should shift to more proactive macro financial regulations as quickly as possible, as dynamic and robust management of financial leverage and forward-looking control of bubbles could ensure that the financial system remain flexible enough to avoid systemic risk to the greatest extent.
文摘The main aim of this paper is to compare the stability, in terms of systemic risk, of conventional and Islamic banking systems. To this aim, we propose correlation network models for stock market returns based on graphical Gaussian distributions, which allows us to capture the contagion effects that move along countries. We also consider Bayesian graphical models, to account for model uncertainty in the measurement of financial systems interconnectedness. Our proposed model is applied to the Middle East and North Africa (MENA) region banking sector, characterized by the presence of both conventional and Islamic banks, for the period from 2007 to the beginning of 2014. Our empirical findings show that there are differences in the systemic risk and stability of the two banking systems during crisis times. In addition, the differences are subject to country specific effects that are amplified during crisis period.
文摘The potential demand on financial risk management has being increased considerably by the reason of Basel 11 regulations and instabilities in economy. In recent years, financial institutions and companies have been struggled for building up intensive financial risk management tools due to Basel II guidance on establishing financial self-assessment systems. In this respect, decision support system has a significant role on effectuating intensive financial risk management roadmap. In this study, a reformative financial risk management system is presented with the combination of determining financial risks with their importance, calculating risk scores and making suggestions based on detected risk scores by applying corrective actions. First, financial risk factors and indicators of these risk variables are selected and weights of these variables are specified by using fuzzy goal programming. After that, total risk scores are calculated and amendatory financial activities are appeared by means of expertons method which also provides possibilities of the alternative decisions. To illustrate the performance of integrated and multistage decision support system, a survey is applied on the end users.
