Measurement And Comparative Study On The Risk Spillover Of China's Traditional Financial Industry Based On CoVaR Method

VaR Model is the most classic method to measure financial risk,however,it's latent defect that cannot cover extreme situation like financial crisis and capture the risk between financial institutions makes it performance poorly,which is reflected in the global financial crisis in 2008 vividly.Since the crisis,the global regulatory perspective on the financial industry gradually change from micro-prudential to macro-prudential,and the CoVaR method,which is developed based on VaR,has gradually become the main method to measure the spillover of financial risk.This thesis uses GARCH-t category model to fit related data,and adopts CoVaR method to measure the level of risk spillover among bank industry,security industry and insurance industry,as well as the level of risk that bank,security company and insurance company spill over to related financial sub-sectors.The results show that there is obvious evidence of risk spillover among bank industry,security industry and insurance industry,and VaR method underestimates the level of risk;there are some differences in the risk spillover among different sub-sectors in the financial system,the securities industry is most vulnerable to the risks of banking and insurance,and the risk spillover of the insurance industry to the securities industry is greater than that of the banking industry,the impact of the banking industry on the insurance industry is greater than that of the securities industry on the insurance industry,the banking industry receives the least impact from the securities industry and the insurance industry;the degree of risk spillover between the three financial sub-sectors is not symmetrical,and the risk-spillover effect of the banking industry on the securities industry is larger than that of security industry on the banking industry,and the riskspillover effect of the insurance industry on the securities industry is larger than that of security industry on the insurance industry,and the risk spillover level of the banking industry to the insurance industry is obviously higher than that of the insurance industry to the banking industry;?CoVaR and %CoVaR of 14 banks,8 securities firms and 2 insurance companies are all positive,indicating that the traditional VaR underestimates the institution's systemic risk spillover.Therefore,CoVaR can quantify the measurement of spillover level of systemic risk compared with VaR.It is a more effective and advanced method to measure the systemic risk more clearly and more intuitively and easily.