Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach

DOI10.1007/S10479-021-04176-ZOpenAlexW3183561974MaRDI QIDQ6148779

Qiang Ji, Zhiwei Zhang, Fei Wu, Dayong Zhang

Publication date: 8 February 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04176-z

zbMATH Keywords

copulafinancial systemrisk spilloversdelta CoVaRsystemically important financial institution

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Multivariate analysis (62Hxx)

Cites Work

• Unnamed Item
• TENET: tail-event driven network risk
• Covar of families of copulas
• A review of copula models for economic time series
• An introduction to copulas.
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Autoregressive Conditional Density Estimation
• Bootstrap Tests for Distributional Treatment Effects in Instrumental Variable Models
• Financial Network Systemic Risk Contributions
• A Survey on Time-Varying Copulas: Specification, Simulations, and Application
• On dependence consistency of CoVaRand some other systemic risk measures

This page was built for publication: Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach