IDEAS home Printed from https://ideas.repec.org/a/gam/jmathe/v12y2024i8p1233-d1378959.html
   My bibliography  Save this article

Measurement and Forecasting of Systemic Risk: A Vine Copula Grouped-CoES Approach

Author

Listed:
  • Huiting Duan

    (College of Science, Wuhan University of Technology, Wuhan 430070, China)

  • Jinghu Yu

    (College of Science, Wuhan University of Technology, Wuhan 430070, China)

  • Linxiao Wei

    (College of Science, Wuhan University of Technology, Wuhan 430070, China)

Abstract

Measuring systemic risk plays an important role in financial risk management to control systemic risk. By means of a vine copula grouped-CoES method, this paper aims to measure the systemic risk of Chinese financial markets. The empirical study indicates that the banking industry has a low risk and a strong ability to resist risks, but also contributes the most of the systemic risk. On the other hand, insurance companies and securities have high ES but low Δ CoES, indicating their low risk tolerance and small contribution to the systemic risk. Furthermore, this study employs a sliding window in Monte Carlo simulation to forecast systemic risk. The findings of this paper suggest that different types of financial industries should adopt different systemic risk measures.

Suggested Citation

  • Huiting Duan & Jinghu Yu & Linxiao Wei, 2024. "Measurement and Forecasting of Systemic Risk: A Vine Copula Grouped-CoES Approach," Mathematics, MDPI, vol. 12(8), pages 1-18, April.
    • Handle: RePEc:gam:jmathe:v:12:y:2024:i:8:p:1233-:d:1378959
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7390/12/8/1233/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-7390/12/8/1233/
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:12:y:2024:i:8:p:1233-:d:1378959. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.