Systematic Risk Measurement and Management of Multinational Banks Based on GARCH–CoVaR

DOI

10.2991/aebmr.k.191217.114How to use a DOI?

Keywords

Systemic risk, GARCH–CoVaR method, Prevention and control path

Abstract

Finance plays a key role in the economy. Financial risks are very sudden, infectious and harmful. How to effectively reduce and prevent the negative impact of systemic financial risks is an urgent problem. On the basis of summarizing the research results of systematic risk measurement at home and abroad, this paper sums up the definition of systematic risk of banks, measures and analyzes the systematic risk of 10 transnational banks in China based on GARCH Covar method, and finally puts forward some suggestions for preventing systematic risk.

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  - Jiaxi Wu
AU  - Jian Min
PY  - 2019
DA  - 2019/12/20
TI  - Systematic Risk Measurement and Management of Multinational Banks Based on GARCH–CoVaR
BT  - Proceedings of the 2019 International Conference on Economic Management and Cultural Industry (ICEMCI 2019)
PB  - Atlantis Press
SP  - 625
EP  - 630
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.191217.114
DO  - 10.2991/aebmr.k.191217.114
ID  - Wu2019
ER  -