Interconnectedness and systemic risk of China's financial institutions
Abstract
null null We investigate the interconnectedness and systemic risk of China's financial institutions by constructing dynamic tail-event driven networks (TENETs) at 1% risk level based on weekly returns of 24 publicly-listed financial institutions from 2008 to 2016. Total connectedness reaches a peak when the system exhibits stress, especially during the recent period from mid-2014 to end-2016. Large commercial banks and insurers usually exhibit...
Paper Details
Title
Interconnectedness and systemic risk of China's financial institutions
Published Date
Jun 1, 2018
Journal
Volume
35
Pages
1 - 18
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