Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach

DOI10.1007/S10479-021-04176-ZMaRDI QIDQ6148779zbMATH OpenOpenAlexFDO

Authors Fei Wu, Zhiwei Zhang, Dayong Zhang, Qiang Ji

Publication date 8 February 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-021-04176-z

zbMATH Keywords

copuladelta CoVaRfinancial systemrisk spilloverssystemically important financial institution

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx)

Cites work

• A review of copula models for economic time series
• A survey on time-varying copulas: specification, simulations, and application
• An introduction to copulas.
• Autoregressive Conditional Density Estimation
• Bootstrap Tests for Distributional Treatment Effects in Instrumental Variable Models
• Covar of families of copulas
• Financial Network Systemic Risk Contributions
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• On dependence consistency of CoVaR and some other systemic risk measures
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• TENET: tail-event driven network risk

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