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《Finance & Economics》 2017-05
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Systemic Default Risk and Identification of Systemically Important Institutions of China Financial Section

Wang Peihui;Yuan Wei;  
Based on extended systemic Contingent Claims Analysis,this paper researches systemic default risk of financial institutions in China and identifies systemically important financial institutions.The empirical results indicate that:The joint default probability of of financial institutions is not high.The default probabilities of the sub-sectors ffoolllow similar path,but there is a big difference in numerical value.The systemic default loss of financial institutions in China is relatively small,within a controllable rang and doesn’t impact the macroeconomic stability.And the banks are a major part of the systemically important institutions of China.Monitoring and controlling the Systemic risk of banks are still the main missions of regulatory authorities.
【Key Words】: Systemic defaultrisk Contingent Claims Analysis Multivariate copula Multivariate extreme value theory
【Fund】: 作者主持的国家社科基金青年项目“保险业系统性风险与金融稳定关系研究”(14CJY073)阶段性成果
【CateGory Index】: F832.3
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