The CoVaR method

In China’s capital market, securities companies are not only converging but also intertwined in business. Once in crisis, their risks may not only infect one another but also impact the whole market. Based on the CoVaR method, from both static and dynamic dimensions, this paper uses the quantile regression and principal component analysis to quantify the risk spillover effects between securities firms and the contributions of individual securities firms to the systemic risk of capital market, and studies the factors influencing the contributions.

24p chauchaungayxua2 19-01-2020 28 3   Download