Xiaohang Liu has obtained his bachelor's degree from Beijing Normal University. He is currently a PhD student in Tsinghua University, major in industrial engineering. His research interests include risk control in the financial markets and technology investment and scheduling problems in intelligent manufacturing.
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.