Tail dependence, risk contagion and industry systemic risk: Based on method of Lasso-Expectile

Qianqian Zhang (), Yue Zhang (), Wenhua Yang and Shu Wang ()
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Qianqian Zhang: School of Accounting, Southwestern University of Finance and Economics, Chengdu 611130, P. R. China
Yue Zhang: ��Department of Economics and Management, Taiyuan Institute of Technology Taiyuan 030008, P. R. China
Wenhua Yang: ��College of Economics, Sichuan Agricultural University, Chengdu 611130, P. R. China
Shu Wang: �School of Finance, Southwestern University of Finance and Economics, Chengdu 611130, P. R. China

International Journal of Financial Engineering (IJFE), 2024, vol. 11, issue 03, 1-22

Abstract: Using third-level industry data of CSI 300, we introduce the Lasso approach into the high-dimensional CARE to model the tail dependence network among the financial sector and real sectors and measure the industry systemic risk. We find that the realized systemic risks between industries are affected by individual risk exposures and marginal systemic risk contributions. Real estate’s marginal systemic risk contribution is the highest in real sectors, and the financial sector’s integrated finance industry shows vital marginal systemic risk contribution and network centrality. Auto parts, construction materials, metals and mining, construction engineering, electrical equipment, and means of transportation in real sectors strongly correlate with other industries. The capital markets industry has a tail dependence with 20 different industries.

Keywords: Lasso-expectile; systemic risk network; tail dependence; risk contagion (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S2424786324410032

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