Systemic risk network of Chinese financial institutions
Abstract
The Chinese stock market crash in June 2015 has demonstrated necessary to improve understanding of systemic risk from the perspective of financial network. This study constructs a tail risk network to present overall systemic risk of Chinese financial institutions, given the macroeconomic and market externalities. Employing the Least Absolute Shrinkage and Selection Operator (LASSO) method of high-dimensional models, our results show that firm's...
Paper Details
Title
Systemic risk network of Chinese financial institutions
Published Date
Jun 1, 2018
Journal
Volume
35
Pages
190 - 206
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