Abstract:
After the financial crisis, the international financial regulatory organization, national regulatory authorities and academia attach great importance to the development and application of systemic risk monitoring technology, new technology and new methods are constantly emerging, SCCA is one of the representative technology. In this paper, considering the practical situation of China banking, we try to optimize the key steps of SCCA and use non-parametric statistical methods to estimate the time varying dependent function. We also introduce a new systemic risk monitoring indicator: Joint -Value at Risk. On this basis, this paper monitors the evolution process of systemic risk in China banking in the post crisis era dynamically. The research results show, optimized SCCA has good applicability and time varying dependence structure is important to study on systemic risk.
李志辉, 李源, 李政. 中国银行业系统性风险监测研究——基于SCCA技术的实现与优化[J]. 金融研究, 2016, 429(3): 92-106.
LI Zhihui, LI Yuan, LI Zheng. A Study on Monitoring Systemic Risk of China’s Banking: Implementation and Optimization of SCCA. Journal of Financial Research, 2016, 429(3): 92-106.
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