Measuring Systemic Risk in the Chinese Financial System Based on Asymmetric Exponential Power Distribution

Helong Li (), Tianqi Luo, Liuling Li and Tiancheng Liu
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Helong Li: School of Economics and Commerce, South China University of Technology
Liuling Li: Institute of Statistics and Econometrics, Economics School, Nankai University
Tiancheng Liu: School of Computer, South China University of Technology

Chapter Chapter 24 in Recent Developments in Data Science and Business Analytics, 2018, pp 225-232 from Springer

Abstract: Abstract We propose an extension of CoVaR approach by employing the Asymmetric Exponential Power Distribution (AEPD) to capture the properties of financial data series such as fat-tailedness and skewness. We prove the new model with AEPD has better goodness-of-fit than traditional model with Gaussian distribution, which means a higher precision. Basing on the Chinese stock market data and the new model, we measure the contribution of 29 financial institutions in bank, security, insurance and other industries.

Keywords: Asymmetric Exponential Power Distribution (AEPD); Systemic Risk; Conditional Value-at-Risk (CoVaR) (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-319-72745-5_24

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DOI: 10.1007/978-3-319-72745-5_24

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