Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)

A Study on the Measurement of Systematic Risk in China's Securities Industry

Authors
Xiaojing Guo
Corresponding Author
Xiaojing Guo
Available Online September 2017.
DOI
https://doi.org/10.2991/ictim-17.2017.72How to use a DOI?
Keywords
GARCH model, CoVaR, systemic risk, VaR
Abstract

This paper calculates the risk spillover effect of China's securities companies based on the GARCH CoVaR model, and makes an empirical analysis on the contribution of 10 listed securities companies to the systemic risk of the securities industry. The study shows that the size of the risk spillover %CoVaR is not related to the VaR, and the risk spill value reflects the contribution degree to the systemic risk. The risk of the securities company with small VaR is small, but it cannot explain how it contributes to the systemic risk. Through the research of this paper, we hope to attract scholars' attention to CoVaR and risk spillover effect. As a new macro-systemic risk control tool,CoVaR is a useful complement to the traditional VaR model and will become a new kind of choice to the financial regulators .

Copyright
© 2017, 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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Volume Title
Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)
Series
Advances in Economics, Business and Management Research
Publication Date
September 2017
ISBN
978-94-6252-405-7
ISSN
2352-5428
DOI
https://doi.org/10.2991/ictim-17.2017.72How to use a DOI?
Copyright
© 2017, 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/).

Cite this article

TY  - CONF
AU  - Xiaojing Guo
PY  - 2017/09
DA  - 2017/09
TI  - A Study on the Measurement of Systematic Risk in China's Securities Industry
BT  - Proceedings of the International Conference on Transformations and Innovations in Management (ICTIM 2017)
PB  - Atlantis Press
SP  - 922
EP  - 932
SN  - 2352-5428
UR  - https://doi.org/10.2991/ictim-17.2017.72
DO  - https://doi.org/10.2991/ictim-17.2017.72
ID  - Guo2017/09
ER  -