Study On The Systemically Important Of China's Listed Securities Companies Based On CoVaR And Factor Analysis Method

Since the reform and opening up,the factors of financial instability in China have changed with the change of economic and financial environment.At present,preventing systemic risks and identifying systemically important financial institutions have become the main theme of China's financial macro-prudential supervision.Over the past 30 years,China's securities industry has been advancing in exploration.With the attention of the state to the financial market,the securities industry has been entrusted with the responsibility of supporting the development of real economy and improving the efficiency of social financing.The securities market will become a very influential part of China's financial market.Securities companies are the main actors in the securities market.The characteristics of the securities market make the securities companies have high risk in the process of operation.Therefore,it is of theoretical and practical significance to identifying the systemically important listed securities companies in China.This paper mainly uses statistical methods to analyze the systemic importance of listed securities companies in China.Firstly,using the GARCH method to modeling the market yield data of the CSI Securities Index and listed securities companies based on the perspective of systemic financial risk spillovers.Constructing GARCH-CoVaR model to measure the VaR the CoVaR;Secondly,from the perspective of dynamic comprehensive index evaluation analysis.From five aspects of scale,relevance,substitution,complexity and internationalization level to constructing the evaluation index system of China's systemically important listed securities companies.Using the factor analysis to constructing factor analysis model for listed securities companies.On the basis of comprehensive score of factor analysis,the TOPSIS method is used to dynamically synthesize and make a dynamic comprehensive evaluation for the systemic importance of listed securities companies in China from 2014 to 2017.The empirical results show that the CoVaR method and factor analysis methods have their own advantages and disadvantages when identifying systemically important listed securities companies.Among the listed securities companies analyzed by CoVaR method,there are relatively small listed securities companies whose Risk at Value and conditional risk value spillover intensity exceeds that of some large listed securities companies,which shows that it is a systemically important listed securities company.In the factor analysis method of comprehensive index evaluation,the scale,assets,liabilities and internationalization of the development level factors of listed securities companies are the main factors determining the importance of the system.The complexity of securities companies' business becomes an indispensable factor to measure their development potential.At the same time,securities companies should reduce their leverage rate,increase risk coverage and capital adequacy to enhance selfrisk resilience.According to the research conclusions,the countermeasures and suggestions for the risk prevention and supervision of the securities industry are proposed from the two perspective of securities companies and regulatory authorities.