Research On Measurement Of Financial Systemic Risk

Different from systematic risk,systemic risk is the risk that could destabilize the financial system,disrupt the normal running of the system,and even make it collapse.Financial crisis is usually considered as its extreme form.After a more than thirty-years rapid growth,China's economy has entered the "new normal" stage which is accompanying with growth slowdown,structural adjustment as well as various risk exposure.China is undergoing financial reform with interest rate liberalization promoted gradually,shadow banking and Internet Finance developing rapidly,which makes local financial risks easy to emerge.As the RMB joined SDR currency basket,the connection of domestic financial market with the international financial market is more closely,so that the financial system is vulnerable to external shocks and risks.Therefore,the prevention and supervision of financial systemic risk become urgent for financial risk managers.Understanding and measuring risk are not only the basis of prevention and regulation,but also necessary conditions for the objectivity,rigorousness and effectiveness of management.Financial interconnectedness refers to the interrelationships between financial institutions due to business or common assets holding,while influence scope and extent of local risk are closely related to it.Professor Stiglitz,a Nobel Prize winner,believes that the high interconnectedness between financial institutions promoted bankruptcy in the financial crisis happened during 2008-2009.Based on interconnectedness,this thesis measures financial systemic risk both from the individual and the overall aspects.As there is no widely accepted definition of systemic risk,the thesis first interprets systemic risk and compares it with other financial risks;then from the individual side,it focuses on the general CoVaR and CoES,empirical analysis is implemented with the same data used in Adrian and Brownleeses(2016)for?CoVaR=;at last,it applies systemic indicators to simulated financial networks to discuss the relationship between average degree and contagion frequence,and China's banking system network to analyze impacts of size and network centrality on SIFIs evaluation.The thesis gets some conclusions:both ?CoVaR? and ?CoVaR= could imply correlation in theoretical analysis,conclusions between ?CoVaR? and VaR are similar but much more difference with ?CoVaR?;compare with ?CoVaR=,?CoVaR??ACoES have weaker link with VaR and involves more underlying information than VaR;relationship between average degree and contagion frequency is nonmonotonic;China's banking system is a scale free network;size,location,counterparty sensitivity and local network vulnerability have significant impact on evaluating bank systemic importance.The innovations of this thesis are as follows:1.Given some theoretical disagreements on systemic risk,it interprets the nature of systemic risk and describes its generation process.2.It analyzes generalized Co VaR in interconnectedness implication and risk characterization,and finds that both ?CoVaR? and ?CoVaR=could reflect changes of correlation;?CoVaR?,?CoES could provide more risk information than VaR and ?CoVaR=.3.Applying adjusted systemic indicators to simulated financial networks to discuss the relationship between average degree and contagion frequence,then an empirical analysis about China banking system is carried out in which impact of size,network centrality as well as other factors on bank's systemic risk contribution is discussed.