Abstract: In light of transitional nature of the Chinese economy and the particulars of its systemic financial risks, this paper develops a composite risk index that consists of seven layers to measure systemic financial risks in China. The study is based on a number of empirical analyses, which help identify the states and inflection points of the risk index, and provides some predictive power on the likely changes in the risk index. The paper uses Chinese historic data, and applies Markov regime-switching modeling technique. This approach can be used to analyze aggregate risks and to measure and monitor financial risks in certain segments of the economy.

Full report ：WP No.201612 Measuring and Monitoring Systemic Risks -- A Study Using Chinese Data.pdf