Journal of Shanghai Jiaotong University ›› 2011, Vol. 45 ›› Issue (12): 1753-1759.

• Management Science • Previous Articles     Next Articles

Banking Systemic Risk Based on Dynamic CoVaR Estimation

 GAO  Guo-Hua, PAN  Ying-Li   

  1. (Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200052,China)
  • Received:2011-02-28 Online:2011-12-31 Published:2011-12-31

Abstract: This paper estimated banking systemic risk based on CoVaR measure discussed by Adrian and Brunnermeier(2009). Our conclusions are: ① banking systemic risk has no linear relationship with its VaR.In China the four stateowned banks have most systemic risk.② CoVaR, VaR and nonperforming loans ratio are significant to predict future marginal systemic risk of banks.

Key words: CoVaR measure, systemic risk, risk spillover

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