Measuring Systemic Risk in the Chinese Financial System Based on Asymmetric Exponential Power Distribution

  • Helong Li
  • Tianqi Luo
  • Liuling Li
  • Tiancheng Liu
Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)


We propose an extension of CoVaR approach by employing the Asymmetric Exponential Power Distribution (AEPD) to capture the properties of financial data series such as fat-tailedness and skewness. We prove the new model with AEPD has better goodness-of-fit than traditional model with Gaussian distribution, which means a higher precision. Basing on the Chinese stock market data and the new model, we measure the contribution of 29 financial institutions in bank, security, insurance and other industries.


Asymmetric Exponential Power Distribution (AEPD) Systemic Risk Conditional Value-at-Risk (CoVaR) 


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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  • Helong Li
    • 1
  • Tianqi Luo
    • 1
  • Liuling Li
    • 2
  • Tiancheng Liu
    • 3
  1. 1.School of Economics and Commerce, South China University of TechnologyGuangzhouPeople’s Republic of China
  2. 2.Institute of Statistics and Econometrics, Economics School, Nankai UniversityTianjingPeople’s Republic of China
  3. 3.School of Computer, South China University of TechnologyGuangzhouPeople’s Republic of China

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