2021 International Conference on Risk Analysis and Emergency Management (RAEM2021)
Prof. Xinmiao Zhou

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Prof. Xinmiao Zhou

Business School of Ningbo University


Speech title:Research on Systemic risk in China Based on Value at Risk, Correlated Spillover and Financial Security


Brief biography:

Zhou Xinmiao, professor and doctoral tutor, and the vice dean of the Business School of Ningbo University, has long been committed to teaching and scientific research in financial risk, financial security and green economy research. In recent years, she has presided over 3 national projects and nearly 10 provincial and ministerial projects. She has published 4 monographs and won the third prize of Zhejiang Provincial Philosophy and Social Science Outstanding Achievement Award. At present, she has published dozens of high-level papers in journals such as North American Journal of Economics and Finance and Quantitative Economics and Technical Economics. 



Abstract:

Based on the China’s strategic demand of “preventing systemic risk and maintaining financial security”, this paper studies the evaluation system of systemic risk measurement in China from the perspectives of value at risk, related spillover and financial security. This is an important perfection of the lack of panoramic measurement framework in traditional measurement. Research methods: We build a multi-period general equilibrium model with many agents and give an empirical analysis of macro and micro data covering all aspects of China's financial economy. The study mainly discusses the sensitivity parameters to systemic risk and find the suitable methods to evaluate it. Research Value: An important contribution of this paper is to give several independent systemic risk calculation methods covering three dimensions. Research findings: The important finding of this paper is that the spillover correlation between financial institutions has a great impact on systemic risk. The potential price bubble in the real estate market may bring greater risks in the future, and the current policy tools in China are not well managed. Financial security is a national strategy and policy arrangement that considers systemic risk governance as a whole, which is the important policy meaning of this article.