 A study of interconnections and contagion among Chinese financial institutions using a ΔCoV aR networkYan Chen, Dongxu Mo and Zezhou Xu Finance Research Letters, 2022, vol. 45, issue C Abstract: With the development of market economy, the interconnections among Chinese companies are becoming closer and the risk exposures are increasing. In this study, a tail risk network based on ΔCoV aR is constructed to access interconnectedness and contagion between Chinese financial institutions and explore the existence of community structures in the network. The results demonstrate that securities are closely linked to other industries and risk contagion within the industry is more serious for banks, insurers, and diversified financial institutions. The systemically important financial institutions are concentrated in the banking and insurance industries. In addition, there is an obvious community structure with industry characteristics in the Chinese financial system. The approach proposed herein can help regulators develop effective policies and investors disperse investment risks. Keywords: Interconnections; Contagion; Tail risk network; ΔCoVaR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003950 DOI: 10.1016/j.frl.2021.102395 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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