Systemic risk measure in financial sectors from the perspective of tail dependence

JIANG Tao, WU Wei-xing, WANG Tian-yi, SHEN Tao

Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (s1) : 40-47.

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Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (s1) : 40-47. DOI: 10.12011/1000-6788(2014)s1-40

Systemic risk measure in financial sectors from the perspective of tail dependence

  • JIANG Tao, WU Wei-xing, WANG Tian-yi, SHEN Tao
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Abstract

According to definition of systemic risk, the tail dependence is used to measure systemic risk from the dimensions of time and space. From empirical analysis, we found that systemic risk exists in banking, securities and insurance industries, as well as, the systemic risk is increasing during the economy is declining. The reasons of the exist of systemic risk in banking, securities and insurance industries were put out. From the perspective of liquidity commonality, and pro-cyclicality of leverage and fair value measurement, the reason of systemic risk enhanced during the decline may come from liquidity risk contagion. Based on this, it also support to establish dynamic provisioning system.

Key words

systemic risk / risk measurement / tail dependence / Copula

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JIANG Tao , WU Wei-xing , WANG Tian-yi , SHEN Tao. Systemic risk measure in financial sectors from the perspective of tail dependence. Systems Engineering - Theory & Practice, 2014, 34(s1): 40-47 https://doi.org/10.12011/1000-6788(2014)s1-40

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