Measure Systemic Risk of Chinese Listed Banks Based on MES Multifactor Model
In this paper we propose a multifactor based methodology to measure the systemic risk of Chinese listed banks.The systemic risk is measured by Chinese Systemic Risk (CSR) index which is built on the Systemic Risk (SRISK) index proposed by Brownlees and Engle (2012)6.And the CSR index proposed by this paper is a function of the implicit government guarantees,Size,Leverage and Marginal Expected Shortfall (MES) of a bank.MES is the marginal expected loss of a bank when the bank experiences a sudden substantial market downside risk.In order to estimate the MES,we introduce a dynamic multifactor model for the bank returns and the three macroeconomic factors,which are market return,interest rate and exchange rate,respectively.Then,we use this methodology to study the systemic risk of 14 Chinese listed banks between September 26,2007 and March 31,2014,and the 16 Chinese listed banks from July 16,2010 to March 31,2014.Meanwhile,a comparison of CSR,SRISK and Indicator-based measurement approach proposed by Financial Stability Board (FSB) is provided in this paper.The empirical results show that the CSR method is more applicable to Chinese financial market than SRISK and Indicator-based measurement approach,due to the consideration of multiple economic factors and implicit government guarantees.
MES Systemic Risk Multifactor Model Implicit Government Guarantees
Ma Yunqian Zhang Bo Jiang Yuanying
School of Statistics, Renmin University of China, Beijing, China, 100872 School of Statistics, Renmin University of China, Beijing, China, 100872;College of science, Guilin
国际会议
大连
英文
294-302
2014-06-30（万方平台首次上网日期，不代表论文的发表时间）