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Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach

Author

Listed:
  • Xiaoming Zhang

    () (Department of Finance, Beijing Jiaotong University, Beijing 100044, China)

  • Chunyan Wei

    () (Department of Finance, Beijing Jiaotong University, Beijing 100044, China)

  • Stefano Zedda

    () (Department of Business and Economics, University of Cagliari, 74 09123 Cagliari, Italy)

Abstract

One of the main issues in the recent Chinese financial reform is aimed at effectively measuring systemic risk and taking appropriate measures to ensure its sustainability and prevent new crises. In this paper, we firstly introduced the present macro-prudential policies implied in China and pointed out the existing problems. Secondly, we analyzed the banks’ assets riskiness and the banks’ probability to default, then, by means of a leave-one-out model, we measured each commercial bank systemic risk contribution. Thirdly, based on comprehensive empirical results and theoretical analysis, we provided some references for macro-prudential regulation and supervision. Results show that systemic risk is increasing in 2013–2017, in particular with reference to contagion risk, with a specific concentration within joint-stock commercial banks, suggesting a specific attention of regulators and supervisors for this category.

Suggested Citation

  • Xiaoming Zhang & Chunyan Wei & Stefano Zedda, 2019. "Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach," Sustainability, MDPI, Open Access Journal, vol. 12(1), pages 1-15, December.
  • Handle: RePEc:gam:jsusta:v:12:y:2019:i:1:p:203-:d:301954
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    References listed on IDEAS

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    More about this item

    Keywords

    leave-one-out; stand-alone risk; contagion risk; macro-prudential regulation;
    All these keywords.

    JEL classification:

    • Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics
    • Q0 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General
    • Q2 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation
    • Q3 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation
    • Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products

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