A Study on the Measurement of Systemic Financial Risk and Spillover Effect of Financial Institutions

DOI

10.2991/essd-19.2019.130How to use a DOI?

Keywords

systemic financial risk, spillover effect, conditional value at risk

Abstract

Systemic financial risk has a great impact on the financial system and the real economy. Academia and regulators pay more and more attention to it. This paper measures systemic financial risk and spillover effect of financial institutions by using the conditional value at risk model based on Quantile regression, and uses panel regression model to analyse the influencing factors of spillover effect, and then it draws conclusions and puts forward recommendations further.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Ruifeng Bai
AU  - Tai Wang
PY  - 2019/07
DA  - 2019/07
TI  - A Study on the Measurement of Systemic Financial Risk and Spillover Effect of Financial Institutions
BT  - Proceedings of the 2nd International Conference on Education Science and Social Development (ESSD 2019)
PB  - Atlantis Press
SP  - 588
EP  - 592
SN  - 2352-5398
UR  - https://doi.org/10.2991/essd-19.2019.130
DO  - 10.2991/essd-19.2019.130
ID  - Bai2019/07
ER  -