Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach
This paper investigates systemic risk in Chinese financial industries by constructing a vine copula grouped CoVaR model, which accounts for the fact that various sub-industries are comprised of multiple financial institutions. The backtesting results indicate that the vine copula grouped model perfo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2021-09-01
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| Series: | Ekonomska Istraživanja |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/1331677X.2021.1977673 |