Measuring and predicting systemic risk in the Chinese banking system

Yibing Chen, Yong Shi, Cheng Few Lee, Minqiang Li, Yuewen Liu

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

This paper highlights the importance of measuring systemic risk of commercial banks. Conditional Value-at-Risk (CoVaR) is used to measure the degree of 'risk externalities' that a specific bank contributes to the whole banking system. Our analysis not only presents current levels of systemic risk of individual banks but also the changes with time passes. There is some evidence that larger banks contribute more to systemic risk, but size is far from being a dominant factor. We further explore to use some determinant balance-sheet factors to predict forward CoVaR for regulatory purpose. We extend modified Support Vector Regression (SVR) specifically for panel data, and apply the new model to predict systemic risk of commercial banks. The results show that the model is suitable for this problem.

Original languageEnglish (US)
Title of host publicationProceedings - 14th IEEE International Conference on Data Mining Workshops, ICDMW 2014
EditorsZhi-Hua Zhou, Wei Wang, Ravi Kumar, Hannu Toivonen, Jian Pei, Joshua Zhexue Huang, Xindong Wu
PublisherIEEE Computer Society
Pages55-59
Number of pages5
EditionJanuary
ISBN (Electronic)9781479942749
DOIs
StatePublished - Jan 26 2015
Event14th IEEE International Conference on Data Mining Workshops, ICDMW 2014 - Shenzhen, China
Duration: Dec 14 2014 → …

Publication series

NameIEEE International Conference on Data Mining Workshops, ICDMW
NumberJanuary
Volume2015-January
ISSN (Print)2375-9232
ISSN (Electronic)2375-9259

Conference

Conference14th IEEE International Conference on Data Mining Workshops, ICDMW 2014
Country/TerritoryChina
CityShenzhen
Period12/14/14 → …

All Science Journal Classification (ASJC) codes

  • Computer Science Applications
  • Software

Keywords

  • Chinese banking system
  • conditional Value-at-Risk
  • modified Support Vector Regression
  • Panel data
  • systemic risk

Fingerprint

Dive into the research topics of 'Measuring and predicting systemic risk in the Chinese banking system'. Together they form a unique fingerprint.

Cite this