Research On Systematic Risk Of Listed Financial Institutions In China

In 2008 the U.S.subprime mortgage crisis triggered a global financial crisis,the systemic risk of expanding in the world,has seriously affected the stable development of the world economy,but also the countries to strengthen and focus on the prevention of systemic risk.In addition,with the accelerating of financial liberalization in the process of continuous development and financial globalization,contact the world financial system and the financial system of our country is more and more closely,the possibility of suffering a systemic risk is growing.The nineteen financial work conference also pointed out that the financial supervision system,hold no systemic financial risks,so it has important significance for systemic risk of listed financial institutions.This article through the literature review from five aspects discusses the related theory on systemic risk: the definition of systemic risk;the formation mechanism of financial institutions risk relevance;measurement of risk of financial institutions system;the macro financial institutions of systemic risk and careful supervision;the literature review comments.At the same time the paper introduces the relevant theoretical knowledge of CoVaR model based on quantile regression,select 27 listed financial institutions,according to the daily closing price to calculate the rate of return to construct the model,in order to calculate the agencies from 2008-2016 years of CoVaR and ΔCoVaR value,the Risk Spillover Effect of financial institutions from high to low for the banking industry.Trust industry,securities industry,insurance industry.See from state-owned banks than the joint-stock banks and city commercial banks to the financial index in the financial system in accordance with the importance of banking system The Risk Spillover Effect of system to be big,this is mainly because of the large state-owned banks,and other financial institutions are closely linked,once the risk will produce immeasurable results to the entire financial system,but it is worth noting that with the development of financial innovation,financial liberalization development,city commercial banks and joint-stock commercial banks scale continue to expand,and other financial institutions continue to strengthen the links,so when the city commercial banks and joint-stock commercial banks face the risk of Risk Spillover Effects on the entire financial system is also growing.In addition to,strengthening financial supervision departments should strengthen the trust industry,the securities industry supervision of banks,the insurance industry in the management of key institutions.In addition,the use of net work topology model of degree centrality index are calculated to analyze the relationship between stock among financial institutions.On the basis of the internal and external factors Through the method of template fixed effect forecast analysis on China’s systemic risk,that there is a positive correlation between the relevance of the financial institutions and the systemic risk,so we can according to the internal linkage relationship between stock index to better grasp of the financial market,the association of listed financial institutions,to the risk prevention system to better place.At the same time also found that financial institutions system risk and financial institutions leverage their own,the financial industry index,there is significant positive correlation between their size and their risk,has negative correlation with the macroeconomic factors,provide a theoretical basis for macro prudential supervision.Finally,from the perspective of macro prudential supervision and micro prudential supervision,we provide relevant suggestions for preventing systemic risk,such as establishing and improving risk warning mechanism in a timely manner,prudent supervision,and strengthening systemic risk control and management reduce leverage and so on.