Domestic Systemically Important Banks : A Quantitative Analysis for the Chinese Banking System
Joint Authors
Chen, Yibing
Wei, Xianhua
Shi, Yong
Zhang, Lingling
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-19, 19 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-26
Country of Publication
Egypt
No. of Pages
19
Main Subjects
Abstract EN
This paper serves as a response to the official assessment approach proposed by Basel Committee to identify domestic systemically important banks (D-SIBs) in China.
Our analysis presents not only current levels of domestic systemic importance of individual banks but also the changes.
We also consider the systemic risk of the whole banking system, by investigating how D-SIBs and non-D-SIBs are correlated before and after the recent financial crises using Copula.
We find that the systemic importance of major banks is decreasing, while some banks becoming more systemically important should require tight regulations.
D-SIBs as a whole subsystem display stronger correlation with non-D-SIBs than the individual D-SIBs, which alerts the regulatory to pay attention to “too-many-to-fail” problems.
Contagion effects between D-SIBs and non-D-SIBs exist during the subprime crisis, but did not exist during the European debt crisis.
This yields good signal of a more balanced banking system in China.
American Psychological Association (APA)
Chen, Yibing& Shi, Yong& Wei, Xianhua& Zhang, Lingling. 2014. Domestic Systemically Important Banks : A Quantitative Analysis for the Chinese Banking System. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-19.
https://search.emarefa.net/detail/BIM-500658
Modern Language Association (MLA)
Chen, Yibing…[et al.]. Domestic Systemically Important Banks : A Quantitative Analysis for the Chinese Banking System. Mathematical Problems in Engineering No. 2014 (2014), pp.1-19.
https://search.emarefa.net/detail/BIM-500658
American Medical Association (AMA)
Chen, Yibing& Shi, Yong& Wei, Xianhua& Zhang, Lingling. Domestic Systemically Important Banks : A Quantitative Analysis for the Chinese Banking System. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-19.
https://search.emarefa.net/detail/BIM-500658
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-500658