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https://doi.org/10.1016/j.jbankfin.2013.01.036

has been cited by the following article:

• TITLE: Study on the Systemic Risk of China’s Stock Markets under Risk-Neutral Conditions

  AUTHORS: Shibo Dai, Handong Li

  KEYWORDS: Stochastic Discount Factor, Risk Neutrality, Tail Risk, Shanghai Index, Hang Seng Index

  JOURNAL NAME: Journal of Mathematical Finance, Vol.9 No.1, February 27, 2019

  ABSTRACT: Based on stochastic discount factor theory, this paper proposes a method to convert the traditional systemic risk measures of financial markets, such as VaR, ES, MES and SES, into risk-neutral measures. We proposed a novel way to neutralize the returns without relying on option price information. Then, we empirically analyzed and compared the systemic risks and changes between the A-shares in Shanghai and H-shares in Hong Kong before and after a stock market crash, and we found that systematic risk measures under risk neutrality could more accurately determine market system risks than traditional systemic risk measures. Moreover, these systemic risk measures have a certain market risk warning effect.