Systematic Risk Measurement And Analysis Of My Country’s Financial Industry

In today’s world,economic and trade exchanges between countries are becoming closer and closer,and global division of labor is becoming more and more intensive.Therefore,the communication and cooperation between financial communities in various countries are increasing.The close relationships between financial institutions are not only reflected in business transactions,cross-shareholdings,but also in the similarity of financial institutions’ own systems,such as financial The closer the financial institutions are,the more closely the financial institutions such as the accounting standards adopted by the "fair value" measurement,the product design and pricing principles of the same types of financial institutions are similar,and the same types of financial institutions in the same region face the same financial supervision Ability to infect risk among others When this connection develops to a certain degree,a financial institution faces the risk of bankruptcy due to the impact of extreme events.And the risk in the financial sector is not just a matter of a single financial institution.The risk will spread to all areas related to this financial institution and has a strong risk dispersion.Therefore,financial institution risk is a systemic risk.In fact,since the financial crisis broke out in the year,systemic risk has become the focus of attention in the financial industry and academia.Systemic risk is from the perspective of the entire industry or system.It has a large scale and a wide range of impacts,causing damage to the entire industry and the economic system.It ultimately affects the operation of the real economy.Financial systemic risk can be understood as a financial When institutions face risks,they will be "contagious" to other financial institutions or the entire financial industry.Therefore,it is important to measure systemic risks in the financial industry.Effective measurement of financial risks,whether in academia or practice,the most classic is the VaR model,but the VaR model has inherent flaws,it cannot cover the extreme situation of the financial crisis,and it cannot capture the risk spillover between financial institutions.The risks of financial institutions have spillover effects.Similar cases are reflected in the 2008 global financial crisis.When a systemic financial crisis occurs in a certain region,it will rapidly expand its scope and have far-reaching effects.Since the financial crisis in 2008,the world has evolved fromthe original micro-prudential financial supervision to macro-prudential.Based on the VaR model,a new Co VaR method has been developed to measure the risk spillover effects of financial institutions.Systemic risk measurement of financial institutions.The model used is the GARCH-t model.It aims to measure the mutual risk spillovers of the financial sub-sectors in the banking,securities and insurance industries,as well as the banking,securities and insurance industries The financial institutions in China respectively compare the risk spillover levels of their sub-sectors.