Systemic Risk Contributions of Financial Institutions during the Stock Market Crash in China

This paper investigates the systemic risk contributions of each financial institution during stock market crash in China using beta. Based on FARM-Selection (Factor Adjusted Regularized Model Selection) approach, we calculate beta, implying importance crash. We find that security firms are main contributors to risk. In addition, some macro variables have a significant influence risk, including changes March Treasury rates and AAA-rated bond 10-year credit spreads. provides an important perspective identify SIFIs (Systemically Important Financial Institutions)