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- W4323659839 abstract "The effective identification of systemically important financial institutions (SIFIs) is key to preventing and resolving systemic financial risks; thus, it is of great research significance for emerging countries to supervise SIFIs and manage systemic financial risks. Since traditional research on identifying SIFIs does not consider emerging machine learning models, it is difficult to properly fit the characteristics of actual financial institutions’ asset distribution. This paper proposes a new method for measuring SIFIs, integrating the PSO-SVM model into the Copula-CoVaR model. This new PSO-SVM-Copula-CoVaR model is meant to evaluate China’s SIFIs based on the publicly traded price data of Chinese listed financial institutions. The empirical results show that, compared with the traditional parameter method (GARCH model) and the nonparametric method (kernel density estimation), the marginal distribution estimation method using the PSO-SVM method can better fit the distribution of an institution’s financial asset return sequence. That is, the model proposed in this paper helps regulatory authorities improve the list of SIFIs more reasonably and implement effective regulatory measures." @default.
- W4323659839 created "2023-03-10" @default.
- W4323659839 creator A5038400025 @default.
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- W4323659839 date "2023-03-09" @default.
- W4323659839 modified "2023-10-18" @default.
- W4323659839 title "A new Copula-CoVaR approach incorporating the PSO-SVM for identifying systemically important financial institutions" @default.
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- W4323659839 doi "https://doi.org/10.1080/1331677x.2023.2180414" @default.
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