The Intersectoral Systemic Risk Shock of Emergency Crisis Events in China’s Financial Market: Nonparametric Methods and Panel Event Study Analyses

The Intersectoral Systemic Risk Shock of Emergency Crisis Events in China’s Financial Market: Nonparametric Methods and Panel Event Study Analyses

By employing two systemic risk methods, the marginal expected shortfall (<i>MES</i>) and the component expected shortfall (<i>CES</i>), this paper measures the systemic risk level of all sectors in China’s financial market from 2014 to 2022; thereby, it researches the total e...

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Bibliographic Details
Main Authors: Ao Lei, Hui Zhao, Yixiang Tian
Format: Article
Language:English
Published: MDPI AG 2023-03-01
Series:Systems
Subjects:
systemic financial risk
intersectoral shock
emergency crisis events
nonparametric methods
panel event study
Online Access:https://www.mdpi.com/2079-8954/11/3/147

Internet

https://www.mdpi.com/2079-8954/11/3/147

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