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Analysis of China’s Banking Industry Risk Level Based on Copula-VaR

Author: SunZuo
Tutor: ShiHuanPing
School: East China Jiaotong University
Course: Industrial Economics
Keywords: VaR Copula function Banking Risk
CLC: F832.33
Type: Master's thesis
Year: 2013
Downloads: 3
Quote: 0
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Abstract


After the financial crisis, in order to quickly relieve the pressure of the economic downturn, the central government quickly launched a series of economic stimulus plan. However, These economic stimulus plan to spur economic growth while also planted a lot of hidden dangers. Since China is mainly relying on investment to spur economic growth, leading to the financial crisis, China’s rapid credit growth, the excessive growth of credit to the accumulation of risk within the banking system. In the field of China’s financial and banking sector occupies a very important position, and therefore the risk of the banking sector will affect the normal development of the entire financial sector. Many types of risks in the banking sector, the impact between banking risk factors also a lot of risk between complementary and mutually reinforcing, measured from the perspective of the overall banking risk becomes increasingly important.Under the pressure of the economic downturn, the risk in the banking sector is gradually revealed. In order to be able to be as objective as possible to reflect the true level of risk of the banking sector in China, we have chosen to measure the risk of the banking industry from the perspective of the overall.14listed banks selected as the research sample, OLS regression, risk daily yield estimates, then calculated risk income distribution, the use of the the Copula function of connecting different types of risk, through the Monte Carlo simulation of the banking industry risk VaR value. As can be seen, by comparing the level of risk in the banking industry before and after the financial crisis changed significantly. After the financial crisis, in the overall the banking sector’s risk level is significantly higher than before the financial crisis.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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