We propose an extension of CoVaR approach by employing the Asymmetric Exponential Power Distribution (AEPD) to capture the properties of financial data series such as fat-tailedness and skewness. We prove the new model with AEPD has better goodness-of-fit than traditional model with Gaussian distribution, which means a higher precision. Basing on the Chinese stock market data and the new model, we measure the contribution of 29 financial institutions in bank, security, insurance and other industries.
CITATION STYLE
Li, H., Luo, T., Li, L., & Liu, T. (2018). Measuring Systemic Risk in the Chinese Financial System Based on Asymmetric Exponential Power Distribution. In Springer Proceedings in Business and Economics (pp. 225–232). Springer Science and Business Media B.V. https://doi.org/10.1007/978-3-319-72745-5_24
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