The CoCVaR approach: systemic risk contribution measurement

2018 ◽  
Vol 20 (4) ◽  
pp. 75-93 ◽  
Author(s):  
Wei-Qiang Huang ◽  
Stan Uryasev
Keyword(s):  
Systemic Risk ◽  
Risk Contribution

scholarly journals Systemic Risk Contribution and Contagion of Industrial Sectors in China: From the Global Financial Crisis to the COVID-19 Pandemic

2021 ◽  
Vol 2021 ◽  
pp. 1-16
Author(s):  
Jianxu Liu ◽  
Yangnan Cheng ◽  
Yefan Zhou ◽  
Xiaoqing Li ◽  
Hongyu Kang ◽  
...  
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Systemic Risk ◽  
Banking Sector ◽  
Global Financial Crisis ◽  
Spillover Effect ◽  
Industrial Sectors ◽  
Risk Contribution ◽  
The Global Financial Crisis ◽  
Over Time

This paper investigates the risk contribution of 29 industrial sectors to the China stock market by using one-factor with Durante generator copulas (FDG) and component expected shortfall (CES) analyses. Risk contagion between the systemically most important sector and other sectors is examined using a copula-based ∆CoVaR approach. The data cover the 2008 global financial crisis and the beginning of the COVID-19 pandemic. The empirical results show that the banking sector contributed most to systemic risk before and during the global financial crisis. Nonbank finance became equally important in 2020, and the COVID-19 pandemic promoted the position of the computer and pharmaceuticals sectors. The spillover effect diminishes over time, but there remains risk contagion between sectors. The risk spillover trend is consistent with that of systemic risk.

scholarly journals Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis

2019 ◽  
Vol 11 (22) ◽  
pp. 6222
Author(s):  
Su ◽  
Huang ◽  
Drakeford
Keyword(s):  
Monetary Policy ◽  
Systemic Risk ◽  
High Dimensional ◽  
Risk Sensitivity ◽  
Return On Assets ◽  
Leverage Ratio ◽  
Energy Material ◽  
Dimensional Network ◽  
Risk Contribution ◽  
Book To Market Ratio

We utilized a high dimensional financial network to investigate the systemic risk contagion between different industries in China and to explore the impacts of monetary policy and industry heterogeneity factors. The empirical results suggest that the total level of systemic risk increased quite significantly during the 2008 global crisis and the 2015–2016 Stock Market Disaster. The energy, material, industrial, and financial sectors are the top systemic risk contributors. Industry heterogeneity variables such as the leverage ratio, book-to-market ratio, return on assets (ROA) and size have significant impacts on the systemic risk, but their effects on the systemic risk contribution are more pronounced than those on the systemic risk sensitivity. Moreover, monetary policy can effectively suppress the systemic risk diffusion derived from the leverage ratio. These results are essential for investors and regulators of risk management.

scholarly journals Measuring Systemic Risk Contribution of International Mutual Funds

2019 ◽  
pp. 146-158
Author(s):  
Joshua Aizenman ◽  
Yothin Jinjarak ◽  
Huanhuan Zheng
Keyword(s):  
Mutual Funds ◽  
Systemic Risk ◽  
Mutual Fund ◽  
Global Financial Crisis ◽  
Financial System ◽  
Policy Implications ◽  
Fund Managers ◽  
Risk Contribution ◽  
The Global Financial Crisis ◽  
Global Financial System

The global financial crisis of 2007–09 has increased the attention of policymakers and academics on the scale and operation of interconnected financial systems, especially on what has become known as ‘too big to fail’ in the global financial system, including both bank and nonbanks. In this chapter, we study the systemic risk of the mutual fund sector in the global financial system. More specifically, this chapter provides new evidence of systemic risk contribution in the international mutual fund sector from 2000 to 2011. The empirical analysis tracks the systemic risk of 10,570 mutual funds investing internationally. The main findings suggest that the systemic risk contributions of international mutual funds are more than proportional given the fund’s size. Policy implications are discussed in terms of practicality of regulation, macroprudential approach, and risk-taking behaviour of fund managers.

scholarly journals What Factors Drive the Banks Systemic Risk among South Asian Countries

2021 ◽  
Vol 7 (4) ◽  
Author(s):  
Raheel Mumtaz ◽  
Quaisar Ijaz Khan ◽  
M.Farooq Rehan
Keyword(s):  
South Asian ◽  
Systemic Risk ◽  
Panel Data Analysis ◽  
Banking System ◽  
Annual Reports ◽  
Asian Countries ◽  
Leverage Ratio ◽  
Interest Income ◽  
Income Ratio ◽  
Risk Contribution

Purpose: This study designs to examine the determinants (size, liquidity ratio, leverage ratio, deposit ratio, asset growth, net interest income ratio and return on asset ratio) of bank’s systemic risk. We use the data of listed commercial banks of the South Asian countries (Pakistan, Bangladesh, and India). Design/Methodology/Approach: The sample consists 30 banks from Bangladesh, 87 banks from India and 22 banks from Pakistan. This study covers the period from 2006 to 2018. The data is collected from the published annual reports of banks and stock exchanges of respective country. The panel data analysis is performed for the estimation of research models. Findings: The findings demonstrate that larger banks contribute lower in the systemic risk of banks. Additionally, highly liquid banks enhance the systemic risk of the banking system. Moreover, the banks with greater reliance on the deposits, net interest income and with high return on asset reduce the systemic risk contribution of the banks. Implications/Originality/Value: This study provides the justification to devise the banking policies like enhance the proportion of liquidity among assets, reliance on net interest income and promote the financing needs through deposits to limit the systemic risk contribution of the banking system.                                                            

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