Research On Systemic Risk Management And Control Of China Ping An Insurance Group Based On GARCH-CoVaR Model

After the 2008 financial crisis,The international view of the systemic risk of the insurance industry has begun to think that the insurance industry can also produce systemic risks.Then each country began to study and prevent the systemic risk of the insurance industry in its own country.In July 19,2013,the financial stability Council announced the first list of the first 9 global system importance insurance agencies(G-SII).Ping An Insurance Co in China is the only insurance institution in the developing and emerging insurance markets.In May 26,2016,the China Insurance Regulatory Commission convened the launching conference of the regulatory system for domestic systemically important insurance institutions.Then it was listed on the Chinese version of the G-SII D-SII list.Even for the nature of high risk enterprises in China Ping An insurance(Group)Limited by Share Ltd,in 2016,the China Insurance Regulatory Commission has led the establishment of Ping An Group Crisis Management Group to guide Ping An Group to establish a systemic risk management and disposal plan.This phenomenon should be made to the thinking of the author,but why Chinese peace is so "importance",its impact on the financial system in a number of insurance institutions really so outstanding? A study on the point of systemic risk,in order to China peace as an example,at the same time with the other three listed insurance companies compared with it,the size of the spillover effect on its systemic risk factors,and explore the main effect of the risk spillover effect,so as to China safety risk management put forward the corresponding suggestions provide a reference for the future direction of development of insurance institutions.First of all,the paper defines the connotation of systemic risk,measure of systemic risk,and through the comparison and innovation,combining the CoVaR method and GARCH model,the insurance company's stock returns as the research object,measure the contribution level of Risk Spillover Effect and systemic risk,the measurement results show that the Ping An insurance(Group)China Limited by Share Ltd the highest risk level,the impact on the financial system,and provide empirical evidence for their focus as an object.After studying the main driving factors of China's Ping An systemic risk contribution,we find that the main inducement factors are VaR,solvency adequacy ratio,the development of new life insurance and ownership structure.In the end,the paper makes a detailed analysis of the main inducement factors,and puts forward some pertinent suggestions for the risk prevention and supervision of China's safety.