Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China
This paper investigates the systemic risk contributions of each financial institution during the stock market crash in China using systemic risk beta. Based on the FARM-Selection (Factor Adjusted Regularized Model Selection) approach, we calculate the systemic risk beta, implying the importance of each financial institution during the stock market crash. We find that security firms are the main contributors to systemic risk. In addition, some macro variables have a significant influence on systemic risk, including changes in March Treasury rates and the AAA-rated bond and 10-year Treasury credit spreads. This paper provides an important perspective to identify the SIFIs (Systemically Important Financial Institutions) during the stock market crash.
Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China
This paper investigates the systemic risk contributions of each financial institution during the stock market crash in China using systemic risk beta. Based on the FARM-Selection (Factor Adjusted Regularized Model Selection) approach, we calculate the systemic risk beta, implying the importance of each financial institution during the stock market crash. We find that security firms are the main contributors to systemic risk. In addition, some macro variables have a significant influence on systemic risk, including changes in March Treasury rates and the AAA-rated bond and 10-year Treasury credit spreads. This paper provides an important perspective to identify the SIFIs (Systemically Important Financial Institutions) during the stock market crash.
Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China
Miao He (Autor:in) / Yanhong Guo (Autor:in)
2022
Aufsatz (Zeitschrift)
Elektronische Ressource
Unbekannt
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