Measurement and prediction of systemic risk in China’s banking industry

Xiaoming Zhang, Xinsong Zhang, Chien-Chiang Lee () and Yue Zhao

Research in International Business and Finance, 2023, vol. 64, issue C

Abstract: This research uses a hybrid systemic risk indicator (rSYR) to measure the systemic financial risk of China’s banking industry from 2009 to 2019 and combines rSYR with sSYR (new standardized rSYR) to more accurately determine systemic important banks. We also forecast systemic risk in the next period, finding that large-scale banks (such as ICBC, Bank of China, Agricultural Bank of China, and China Merchants Bank) have high systemic importance. After eliminating the impact of scale, we then pay attention to the possibility of systemic risk brought by some smaller banks (such as Huaxia Bank and Everbright Bank). Through the prediction of systemic risk in the next six months, we also find out that the possibility of systemic risk caused by possible capital shortage brought by Agricultural Bank of China, Ping An Bank, Bank of China and Everbright Bank is more obvious, which is worth paying greater attention.

Keywords: Financial risk; Systemic risk; COVID-19; Banking industry; Prediction (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002604

DOI: 10.1016/j.ribaf.2022.101874

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