{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,28]],"date-time":"2026-02-28T04:47:03Z","timestamp":1772254023191,"version":"3.50.1"},"reference-count":43,"publisher":"MDPI AG","issue":"12","license":[{"start":{"date-parts":[[2022,11,25]],"date-time":"2022-11-25T00:00:00Z","timestamp":1669334400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Axioms"],"abstract":"<jats:p>The analysis and prediction of systemic financial risks in the US during the COVID-19 pandemic is of great significance to the stability of financial markets in the US and even the world. This paper aims to predict the systemic financial risk in the US before and during the COVID-19 pandemic by using copula\u2013GJR\u2013GARCH models with component expected shortfall (CES), and also identify systemically important financial institutions (SIFIs) for the two comparative periods. The empirical results show that the overall systemic financial risk increased after the outbreak of the COVID-19 pandemic, especially in the first half of the year. We predicted four extreme risks that were basically successful in capturing the high risks in the US financial markets. Second, we identified the SIFIs, and depository banks made the greatest contribution to systemic risk from four financial groups. Third, after the outbreak of the epidemic, the share of Broker\u2013Dealer and Other Institutions in the overall systemic risk has apparently increased. Finally, we recommend that the US financial regulators should consider macro-prudential guidance for major financial institutions, and we should pay more attention to Broker\u2013Dealers, thereby improving the financial stability of the US and the global financial markets.<\/jats:p>","DOI":"10.3390\/axioms11120669","type":"journal-article","created":{"date-parts":[[2022,11,25]],"date-time":"2022-11-25T03:00:13Z","timestamp":1669345213000},"page":"669","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Comparison of Systemic Financial Risks in the US before and after the COVID-19 Outbreak\u2014A Copula\u2013GARCH with CES Approach"],"prefix":"10.3390","volume":"11","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-9190-6833","authenticated-orcid":false,"given":"Ji","family":"Ma","sequence":"first","affiliation":[{"name":"Institute of Economics, Yunnan Academy of Social Sciences, Kunming 650034, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xiaoqing","family":"Li","sequence":"additional","affiliation":[{"name":"School of Economics, Shandong University of Finance and Economics, Jinan 250014, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-2128-6015","authenticated-orcid":false,"given":"Jianxu","family":"Liu","sequence":"additional","affiliation":[{"name":"School of Economics, Shandong University of Finance and Economics, Jinan 250014, China"},{"name":"Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jiande","family":"Cui","sequence":"additional","affiliation":[{"name":"School of Economics, Shandong University of Finance and Economics, Jinan 250014, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Mingzhi","family":"Zhang","sequence":"additional","affiliation":[{"name":"School of Economics, Shandong University of Finance and Economics, Jinan 250014, China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3511-5452","authenticated-orcid":false,"given":"Songsak","family":"Sriboonchitta","sequence":"additional","affiliation":[{"name":"Faculty of Economics, Chiang Mai University, Chiang Mai 50200, Thailand"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2022,11,25]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","unstructured":"Elson, A. (2019). The United States in the World Economy, Springer International Publishing.","DOI":"10.1007\/978-3-030-20688-8"},{"key":"ref_2","doi-asserted-by":"crossref","first-page":"59","DOI":"10.1257\/aer.102.3.59","article-title":"Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks","volume":"102","author":"Acharya","year":"2012","journal-title":"Am. Econ. Rev."},{"key":"ref_3","doi-asserted-by":"crossref","first-page":"575","DOI":"10.1016\/j.jbankfin.2014.01.037","article-title":"Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk","volume":"50","author":"Banulescu","year":"2015","journal-title":"J. Bank. Financ."},{"key":"ref_4","doi-asserted-by":"crossref","unstructured":"Brownlees, C.T., and Engle, R.F. (2011). Volatility, Correlation and Tails for Systemic Risk Measurement. SSRN Electron. J., 1611229.","DOI":"10.2139\/ssrn.1611229"},{"key":"ref_5","doi-asserted-by":"crossref","first-page":"48","DOI":"10.1093\/rfs\/hhw060","article-title":"SRISK: A Conditional Capital Shortfall Measure of Systemic Risk","volume":"30","author":"Brownlees","year":"2017","journal-title":"Rev. Financ. Stud."},{"key":"ref_6","doi-asserted-by":"crossref","first-page":"107","DOI":"10.1016\/j.jbankfin.2015.09.007","article-title":"The Systemic Risk of European Banks during the Financial and Sovereign Debt Crises","volume":"63","author":"Black","year":"2016","journal-title":"J. Bank. Financ."},{"key":"ref_7","doi-asserted-by":"crossref","unstructured":"Ganie, I.R., Wani, T.A., and Yadav, M.P. (2022). Impact of COVID-19 Outbreak on the Stock Market: An Evidence from Select Economies. Bus. Perspect. Res.","DOI":"10.1177\/22785337211073635"},{"key":"ref_8","doi-asserted-by":"crossref","first-page":"9373614","DOI":"10.1155\/2021\/9373614","article-title":"Systemic Risk Contribution and Contagion of Industrial Sectors in China: From the Global Financial Crisis to the COVID-19 Pandemic","volume":"2021","author":"Liu","year":"2021","journal-title":"J. Math."},{"key":"ref_9","doi-asserted-by":"crossref","unstructured":"Jha, C., and Goel, U. (2021). Change in Systemic Risk in Indian Financial Market Due to COVID-19 Pandemic. SSRN Electron. J., 3883949.","DOI":"10.2139\/ssrn.3883949"},{"key":"ref_10","doi-asserted-by":"crossref","first-page":"101374","DOI":"10.1016\/j.ribaf.2020.101374","article-title":"Identifying Systemically Important Financial Institutions in Turkey","volume":"56","author":"Caliskan","year":"2021","journal-title":"Res. Int. Bus. Financ."},{"key":"ref_11","doi-asserted-by":"crossref","first-page":"101670","DOI":"10.1016\/j.pacfin.2021.101670","article-title":"Systemically Important Banks in Asian Emerging Markets: Evidence from Four Systemic Risk Measures","volume":"70","author":"Pham","year":"2021","journal-title":"Pac.-Basin Financ. J."},{"key":"ref_12","doi-asserted-by":"crossref","unstructured":"Wu, F., Zhang, Z., Zhang, D., and Ji, Q. (2021). Identifying Systemically Important Financial Institutions in China: New Evidence from a Dynamic Copula\u2013CoVaR Approach. Ann. Oper. Res., 1\u201335.","DOI":"10.1007\/s10479-021-04176-z"},{"key":"ref_13","doi-asserted-by":"crossref","first-page":"1976","DOI":"10.1080\/00036846.2020.1854668","article-title":"The Risk Transmission of COVID-19 in the US Stock Market","volume":"53","author":"Baek","year":"2021","journal-title":"Appl. Econ."},{"key":"ref_14","doi-asserted-by":"crossref","unstructured":"Baker, S., Bloom, N., Davis, S., Kost, K., Sammon, M., and Viratyosin, T. (2020). The Unprecedented Stock Market Impact of COVID-19, National Bureau of Economic Research. Technical Report w26945.","DOI":"10.3386\/w26945"},{"key":"ref_15","doi-asserted-by":"crossref","first-page":"14","DOI":"10.1186\/s40854-021-00228-2","article-title":"Impact of the COVID-19 Outbreak on the US Equity Sectors: Evidence from Quantile Return Spillovers","volume":"7","author":"Shahzad","year":"2021","journal-title":"Financ. Innov."},{"key":"ref_16","doi-asserted-by":"crossref","first-page":"2","DOI":"10.1093\/rfs\/hhw088","article-title":"Measuring Systemic Risk","volume":"30","author":"Acharya","year":"2017","journal-title":"Rev. Financ. Stud."},{"key":"ref_17","doi-asserted-by":"crossref","first-page":"180","DOI":"10.1016\/j.eap.2021.04.010","article-title":"Systemic Risk Spillover across Global and Country Stock Markets during the COVID-19 Pandemic","volume":"71","author":"Abuzayed","year":"2021","journal-title":"Econ. Anal. Policy"},{"key":"ref_18","doi-asserted-by":"crossref","first-page":"101646","DOI":"10.1016\/j.irfa.2020.101646","article-title":"Return Connectedness across Asset Classes around the COVID-19 Outbreak","volume":"73","author":"Bouri","year":"2021","journal-title":"Int. Rev. Financ. Anal."},{"key":"ref_19","doi-asserted-by":"crossref","first-page":"125988","DOI":"10.1016\/j.physa.2021.125988","article-title":"Analysis of Stock Market Efficiency during Crisis Periods in the US Stock Market: Differences between the Global Financial Crisis and COVID-19 Pandemic","volume":"574","author":"Choi","year":"2021","journal-title":"Phys. A Stat. Mech. Its Appl."},{"key":"ref_20","doi-asserted-by":"crossref","first-page":"101578","DOI":"10.1016\/j.frl.2020.101578","article-title":"Did Congress Trade Ahead? Considering the Reaction of US Industries to COVID-19","volume":"36","author":"Goodell","year":"2020","journal-title":"Financ. Res. Lett."},{"key":"ref_21","doi-asserted-by":"crossref","first-page":"18070","DOI":"10.46557\/001c.18070","article-title":"Systemic Risk in China\u2019s Financial Industry Due to the COVID-19 Pandemic","volume":"1","author":"Lan","year":"2020","journal-title":"Asian Econ. Lett."},{"key":"ref_22","doi-asserted-by":"crossref","unstructured":"Li, X., Liu, Y., and Zhang, S. (2021, January 23\u201325). Investing Style and Sensitivity Analysis in U.S. Stock Market during COVID-19 Based on Multi-Factor Model. Proceedings of the 2021 International Conference on Computer, Blockchain and Financial Development (CBFD), Nanjing, China.","DOI":"10.1109\/CBFD52659.2021.00076"},{"key":"ref_23","doi-asserted-by":"crossref","first-page":"28226","DOI":"10.1007\/s11356-021-18170-2","article-title":"Assessing Financial Risk Spillover and Panic Impact of COVID-19 on European and Vietnam Stock Market","volume":"29","author":"Moslehpour","year":"2022","journal-title":"Environ. Sci. Pollut. Res."},{"key":"ref_24","doi-asserted-by":"crossref","unstructured":"Bandyopadhyay, K.R. (2022). Oil and Gas Markets and COVID-19: A Critical Rumination on Drivers, Triggers, and Volatility. Energies, 15.","DOI":"10.3390\/en15082884"},{"key":"ref_25","doi-asserted-by":"crossref","first-page":"102061","DOI":"10.1016\/j.resourpol.2021.102061","article-title":"The Impact of COVID-19 News, Panic and Media Coverage on the Oil and Gold Prices: An ARDL Approach","volume":"72","author":"Atri","year":"2021","journal-title":"Resour. Policy"},{"key":"ref_26","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1198\/073500102288618487","article-title":"Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models","volume":"20","author":"Engle","year":"2002","journal-title":"J. Bus. Econ. Stat."},{"key":"ref_27","doi-asserted-by":"crossref","first-page":"7","DOI":"10.3905\/jod.1998.408008","article-title":"Stress Testing in a Value at Risk Framework","volume":"6","author":"Kupiec","year":"1998","journal-title":"J. Deriv."},{"key":"ref_28","doi-asserted-by":"crossref","first-page":"158","DOI":"10.1111\/j.1468-0297.2008.02208.x","article-title":"Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets","volume":"119","author":"Diebold","year":"2009","journal-title":"Econ. J."},{"key":"ref_29","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1016\/j.jfi.2018.03.003","article-title":"Why Do Some Banks Contribute More to Global Systemic Risk?","volume":"35","author":"Bostandzic","year":"2018","journal-title":"J. Financ. Intermediat."},{"key":"ref_30","doi-asserted-by":"crossref","first-page":"42","DOI":"10.1016\/j.qref.2020.01.004","article-title":"Fed\u2019s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets","volume":"78","author":"Balcilar","year":"2020","journal-title":"Q. Rev. Econ. Financ."},{"key":"ref_31","doi-asserted-by":"crossref","first-page":"103","DOI":"10.1016\/j.najef.2015.08.006","article-title":"Monetary Policy\u2019s Time-Varying Impact on the US Bond Markets: Role of Financial Stress and Risks","volume":"34","author":"Marfatia","year":"2015","journal-title":"N. Am. J. Econ. Financ."},{"key":"ref_32","doi-asserted-by":"crossref","first-page":"3169","DOI":"10.1016\/j.jbankfin.2013.02.027","article-title":"Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR","volume":"37","author":"Girardi","year":"2013","journal-title":"J. Bank. Financ."},{"key":"ref_33","doi-asserted-by":"crossref","first-page":"1705","DOI":"10.1257\/aer.20120555","article-title":"CoVaR","volume":"106","author":"Adrian","year":"2016","journal-title":"Am. Econ. Rev."},{"key":"ref_34","doi-asserted-by":"crossref","first-page":"102939","DOI":"10.1016\/j.resourpol.2022.102939","article-title":"Impact of the COVID-19 Pandemic on Return and Risk Transmission between Oil and Precious Metals: Evidence from DCC\u2013GARCH Model","volume":"79","author":"Esen","year":"2022","journal-title":"Resour. Policy"},{"key":"ref_35","doi-asserted-by":"crossref","first-page":"120993","DOI":"10.1016\/j.physa.2019.04.229","article-title":"Risk Spillovers and Portfolio Management between Precious Metal and BRICS Stock Markets","volume":"534","author":"Jiang","year":"2019","journal-title":"Phys. A Stat. Mech. Its Appl."},{"key":"ref_36","doi-asserted-by":"crossref","first-page":"76","DOI":"10.1016\/j.inteco.2021.08.003","article-title":"Dependence Structure between Oil Price Volatility and Sovereign Credit Risk of Oil Exporters: Evidence Using a Copula Approach","volume":"168","author":"Ehouman","year":"2021","journal-title":"Int. Econ."},{"key":"ref_37","doi-asserted-by":"crossref","first-page":"376","DOI":"10.1016\/j.compeleceng.2019.06.011","article-title":"Application of Copula Function in Financial Risk Analysis","volume":"77","author":"Zhang","year":"2019","journal-title":"Comput. Electr. Eng."},{"key":"ref_38","doi-asserted-by":"crossref","first-page":"403","DOI":"10.1007\/978-3-319-25135-6_37","article-title":"Volatility and Dependence for System","volume":"Volume 9376","author":"Huynh","year":"2015","journal-title":"Integrated Uncertainty in Knowledge Modelling and Decision Making"},{"key":"ref_39","doi-asserted-by":"crossref","first-page":"63","DOI":"10.1016\/j.econmod.2015.11.010","article-title":"Measuring Systemic Risk Using Vine-Copula","volume":"53","author":"Pourkhanali","year":"2016","journal-title":"Econ. Model."},{"key":"ref_40","doi-asserted-by":"crossref","first-page":"214","DOI":"10.1016\/j.jimonfin.2014.12.002","article-title":"Systemic Risk in European Sovereign Debt Markets: A CoVaR-copula Approach","volume":"51","author":"Reboredo","year":"2015","journal-title":"J. Int. Money Financ."},{"key":"ref_41","doi-asserted-by":"crossref","first-page":"1779","DOI":"10.1111\/j.1540-6261.1993.tb05128.x","article-title":"On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks","volume":"48","author":"Glosten","year":"1993","journal-title":"J. Financ."},{"key":"ref_42","first-page":"229","article-title":"Fonctions de repartition a n dimensions et leurs marges","volume":"8","author":"Sklar","year":"1959","journal-title":"Publ. l\u2019Inst. Stat. l\u2019Univ. Paris"},{"key":"ref_43","doi-asserted-by":"crossref","unstructured":"Joe, H. (2014). Dependence Modeling with Copulas, Chapman and Hall\/CRC.","DOI":"10.1201\/b17116"}],"container-title":["Axioms"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.mdpi.com\/2075-1680\/11\/12\/669\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T01:26:29Z","timestamp":1760145989000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.mdpi.com\/2075-1680\/11\/12\/669"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,11,25]]},"references-count":43,"journal-issue":{"issue":"12","published-online":{"date-parts":[[2022,12]]}},"alternative-id":["axioms11120669"],"URL":"https:\/\/doi.org\/10.3390\/axioms11120669","relation":{},"ISSN":["2075-1680"],"issn-type":[{"value":"2075-1680","type":"electronic"}],"subject":[],"published":{"date-parts":[[2022,11,25]]}}}