Identifying Systemically Important Banks in China Based on the CoVaR Model
DOI:
https://doi.org/10.1956/jge.v19i1.680Keywords:
conditional value-at-risk, systemic risk, systemically important banksAbstract
This paper measures the contribution value of 16 listed banks in China to systemic risk using a CoVaR model with quantile regression, using daily stock price data from 2015 to 2021. The systemically important banks in China are selected by ranking the magnitude of the contribution value to systemic risk. The results of this paper's selection overlap with the official list of Chinese systemically important banks in 2022, which verifies the reliability of the paper's calculation results and provides data support for the differentiated regulation of systemic banks in China.
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