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Xiping Li

Doctor of Philosophy, (Finance)
Study Completed: 2018
Massey Business School

Citation

Thesis Title
An Examination of Bank Risk Measures and their Relationship to Systemic Risk Measurement

Read article at Massey Research Online: MRO icon

Ms Li explored ways of measuring bank risk with z-score (a proxy for bank risk-taking) as the main focus. Her research suggested a more meaningful approach to constructing the time-varying z-score, and was the first study to develop a risk-weighted z-score measure. She further proposed a new systemic risk measure based on z-score, which was developed on the Leave-One-Out (LOO) approach. The systemic risk contribution of an individual bank can be captured by the variation of risk-taking of a banking system when excluding that particular bank. The LOO z-score measure was proven useful for assessing banks’ systemic risk contribution. As this measure can be computed using accounting data only, it is especially useful for systemic risk analyses of banks with limited or no share market data, which is a key advantage. The ability to include both listed and unlisted banks in systemic risk analyses is fundamental in macro-prudential policy frameworks.

Supervisors
Professor David Tripe
Dr David Smith

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