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- W3048534468 abstract "This article examines the systemic risk in the Chinese financial system by combining copula and graph theory approaches. We start from identifying the interdependence amongst financial institutions based on static and dynamic copula functions. A minimum spanning tree is then generated to analyse the network structure in the financial system in both static and dynamic contexts. Evidence from both static and dynamic analysis verifies the systemic importance of Industrial Bank Co., Ltd. Some others, Shanghai Pudong Development Bank and Huaxia Bank Co., Limited, occasionally show systemic importance in the dynamic setting. We further examine the stability of the network structure and find that whilst the dependence structure exhibits time-varying patterns, certain relationships appear to be more stable than others. Our findings hold important policy and investment implications." @default.
- W3048534468 created "2020-08-18" @default.
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- W3048534468 date "2020-08-09" @default.
- W3048534468 modified "2023-10-16" @default.
- W3048534468 title "Systemic risk in the Chinese financial system: A copula‐based network approach" @default.
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- W3048534468 doi "https://doi.org/10.1002/ijfe.1892" @default.
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