Estimate Of The Systemic Financial Risk Contagion Effect Between China's Financial Sector Through Fast Diffusion Of CCA-Copula-CoVaR Model Analysis

Preventing the occurrence of systemic financial risk is the eternal theme of financial work.To study the contagion effect of systemic financial risk is helpful to monitor the change of systemic financial risk in real time,and to gain time and feedback information for financial supervision.For effective prevention of systemic financial risks of great significance.This paper analyzes the internal causes and external influencing factors of systemic financial risk,analyzes the infectious channels of systemic financial risk,and constructs a fast-diffusion CCA-Copula-Co Va R model to measure the contagion effect of systemic financial risk theoretically.First,using the fast diffusion CCA model to calculate the daily potential claims loss sequence of banking,securities,insurance and trust,and then get the unit asset loss sequence.The generalized Pereto distribution is introduced to fit the tail of the unit asset loss series,and the optimal binary Copula function is selected by using the Euclidean square distance method to connect the edge distribution of the two industries.Using Monte Carlo simulation method to calculate Co Va R and dynamic Co Va R under different risk degree and different time interval.Finally,according to the results of empirical analysis,the direction of systemic financial risk contagion effect between financial sub-industries in China is analyzed.The empirical results show that the risk contagion effect among banks,insurance,securities and trusts is positive.From the perspective of risk receiver,banks are most exposed to the risk contagion in the other three industries.From the perspective of risk exporters,trust is the most contagious in the other three industries.As the risk deepens,the risk contagion of securities,insurance and trust industries to the banking industry will accelerate.