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- W3003272249 abstract "The world has entered the digital economy era. As a developing country, China's banking industry plays an important role in the financial industry, and its size ranks first in the world. Therefore, it is of great significance to study the systemic risks of China's banks in the digital economy era. We first compare the traditional indicator approach and the market-based approach theoretically, and Conditional Value at Risk (CoVaR) model, a market-based approach, is considered to be an efficient way to discover systemic risk in different perspectives. Based on static and dynamic models, we evaluate the contributions of sixteen China's listed banks to the systemic risk. Furthermore, we model bank exposures, extend the models by considering extreme circumstance, and incorporate the effects of Fintech and non-bank financial institutions. The results show the levels of systemic risks and the corresponding systemic importance rankings vary in different time periods. We find that the contributions of some small banks to systemic risk are even higher than some big banks during the sample period. Moreover, the big banks face less risks than most of the small banks when the banking system is in distress. We make suggestions for improving financial supervision and maintaining financial stability." @default.
- W3003272249 created "2020-02-07" @default.
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- W3003272249 date "2020-02-02" @default.
- W3003272249 modified "2023-09-25" @default.
- W3003272249 title "Discovering Systemic Risks of China's Listed Banks by CoVaR Approach in the Digital Economy Era" @default.
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- W3003272249 doi "https://doi.org/10.3390/math8020180" @default.
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