Research On Financial Systemic Risk Measurement By Copula Theory

Since the outbreak of the global financial crisis in 2008,systemic risk has become the focus of discussion in academia,governments,regulatory departments and financial institutions.The accurate measurement of systemic risk has become a hot spot in the present research,and it is also an effective means to prevent the financial crisis from happening again.With the continuous development and innovation of modern finance,business transactions between banks,securities,insurance and trust industries are more frequent and interrelated and interact with each other.The reform and development of financial institutions will inevitably tend to a comprehensive business operation,and the first problem of integrated management is the cross infection of risk prevention.If the financial system or regulatory agencies fail to predict and isolate risks in time,it will probably lead to the "Domino effect" because of the collapse of an institution,which makes other institutions and even the whole financial system face huge impact.In order to make the financial system run well,the further development of integrated management and the prevention of cross industry contagion are the important topics of the present research.Therefore,this paper uses the Vine Copula model to study the Risk Spillover Effect between the financial sub market.This article first introduces the definition and characteristics of systemic risk,as well as its generation mechanism and delivery process.Then introduced several main indicators used in financial systemic risk measurement.Second,the definition,basic properties and characteristics of Copula function and related theorems were introduced.The expressions of some common binary Copula functions were given.Its characteristics.Then introduced Vine Copula theory and model structure and parameter estimation.In the empirical study,using the GJR-GARCH-Copula model,and combined with the R-vine structure,using the stock data of 30 financial institutions in the mainland of China before 2008 listing,obtain the joint probability distribution of the financial industry in banking,securities,insurance and trust four sub sectors respectively,using the quantile regression method of CoVaR value of the four sub sectors the systemic risk spillover effect measure.The results show that there is a significant asymmetric risk transmission between banks,securities,insurance and trust industry,and banking industry has the greatest impact on the other three industries,which is the largest source of financial risk.Finally,some suggestions on controlling systemic risk and preventing risk spillover are put forward.