Analyzing Systemic Risk in the Chinese Banking System

28 Pages Posted: 16 Oct 2015

See all articles by Qiubin Huang

Qiubin Huang

University of Science and Technology Beijing - School of Economics and Management

Jakob de Haan

University of Groningen - Faculty of Economics and Business; De Nederlandsche Bank; CESifo (Center for Economic Studies and Ifo Institute)

Bert Scholtens

University of Groningen - Department of Finance & Accounting

Date Written: September 23, 2015

Abstract

We examine systemic risk in the Chinese banking system by estimating the conditional value at risk (CoVaR), the marginal expected shortfall (MES), the systemic impact index (SII) and the vulnerability index (VI) for 16 listed banks in China. Although these measures show different patterns, our results suggest that systemic risk in the Chinese banking system decreased after the financial crisis, but started rising in 2014. Compared to the banking systems of Korea and the US, we find that Chinese banks are at greater risk according to the CoVaR, the SII and the VI approaches, but have the lowest MES.

Keywords: systemic risk, Chinese banking system, CoVaR, capital shortfall

JEL Classification: G210, G280, G140

Suggested Citation

Huang, Qiubin and de Haan, Jakob and de Haan, Jakob and Scholtens, Bert, Analyzing Systemic Risk in the Chinese Banking System (September 23, 2015). CESifo Working Paper Series No. 5513, Available at SSRN: https://ssrn.com/abstract=2674504

Qiubin Huang

University of Science and Technology Beijing - School of Economics and Management

30 Xueyuan Road, Haidian District
Beijing, 100083
China

Jakob De Haan (Contact Author)

University of Groningen - Faculty of Economics and Business ( email )

PO Box 800
Groningen, 9700 AV
Netherlands
+31 0 50 3633706 (Fax)

De Nederlandsche Bank ( email )

P.O. Box 98
Amsterdam, 1000 AB
Netherlands

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

Bert Scholtens

University of Groningen - Department of Finance & Accounting ( email )

P.O. Box 800
9700 AH Groningen
Netherlands

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