Handong Li is a professor in the School of Systems Science, Beijing Normal University, Beijing, China. He obtained his PhD from the Tianjin University, Tianjin, China in 2000. He has published more than 30 papers in international high-level journals. His current research areas include socio-economic complex system analysis, financial engineering, financial quantitative analysis, financial risk management and population research based on complex systems theory and methods.
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.