The Discussion Of Systemic Risk Of Chinese And American Securities Market Based On Copula-CoVaR

The increasing development of global economics brings higher frequency of sys-temic financial crisis. Systemic risk is prevalent in financial systems especially in se-curities market, it spreads rapidly through various channels to the entire international finance market and brings profound impacts. Therefore the measure of systemic risk is valued in both academic research and practical usage. In overseas, the research of assessment on systemic risk in financial market has been proceeded for a long time, and been fully implemented on the quantitative analysis method. However, the Chinese s-tock market is an emerging market, which is easily affected by internal and external influence factor. Once the systemic crisis occurs, the result will be very serious. There-fore, China should speed up the risk assessment of the securities market. This paper choose stock market as a representative, employed GARCH-Copula-CoVaR method to do the empirical analysis of systemic risk of securities market.This article choose S&P500and its10sector indices to represent American stock market. As for China,we choose CSI300and its10sector indices as the representative. Firstly, we choose the closing price data of American S&P500and its10sector indices from2004to2014,similarly, we choose the closing price data of CIS300and300sector indices from2007to2015. Considering the dynamic correlation between financial vari-ables, we used the time-varying t-copula function, ARMA-GARCH-t model to model the influence of different sector to the main indices and employed maximum likelihood method to estimate all the parameters. Secondly, we use the t-copula function we esti-mated in the first step to calculate the CoVaR and△CoVaR of each sector indices. The result shows, no matter in China or America, every industry sector contributes to the whole stock market’s systemic risk. However due to the different background of eco-nomic development, the influence of each industry is different on Chinese and American stock market. Further discussion reveals that our Copula-CoVaR model is an efficient model to measure the systemic risks.