The Assessment Of The Systemic Risk Of The Listed Insurance Companies In China

Systemic risk generally refers to the risk that a financial institution in a financial market is affected by an external shock or an internal uncontrollable factor,causing a chain of the entire market and causing a major economic loss.In recent years,research on systemic risk has begun to develop in the insurance field.Although there is no uniform definition of systemic risks in the insurance industry,the systemic risk assessment methods for the insurance industry have become increasingly diverse.Since the global financial crisis in 2008,China's insurance industry has grown steadily,and the number of listed insurance companies has gradually increased.The number of funds invested in China's insurance industry has increased in the financial market.The correlation between China's insurance industry and financial markets has continued to increase.The company's influence in the financial market has also increased.At present,the trend of financial market “de-realization” has intensified,and there are hidden dangers of systemic risks.The national government has increased the structure and de-leverage.The 19 th National Congress report “to resolutely lay a good job in preventing and resolving major risks and improving poverty alleviation.The tough battle against pollution prevention and control has enabled the people to be fully recognized as a well-off society." The evaluation of systemic risk level of listed insurance companies in China is very important.The research idea of this paper is based on DCC-GARCH model,using MES method and?CoVaR method to calculate China Life Insurance,China Pacific and China Ping An in China.The MES value and ?CoVaR value of the daily rate of return of the home insurance company from January 2,2008 to November 22,2018.Then,it analyzes the systemic risk situation of listed insurance companies in China in the past ten years,provides research experience for assessing the systemic risks of listed insurance companies in China,and provides a framework for building a systemic risk supervision system in the “time” dimension and “space” dimension.Empirical reference.The main contents of this paper are as follows:The introductory part mainly expounds the research background and research significance,literature review,research ideas,research methods,innovations and deficiencies.The first chapter is the realistic analysis of the systemic risk in China's insurance market.Analyze the realistic background of systemic risk assessment of listed insurance companies in China.First of all,combined with China's current economic and financial environment,analyze the current situation of China's insurance industry systemic risk.Secondly,it analyzes the systemic risk of listed insurance companies in China.The second chapter is a theoretical comparison of systemic risk assessment methods.Introduce the method of systemic risk assessment in the insurance industry.First,summarize the methods of systemic risk assessment,focusing on methods to assess the extent to which individual insurance companies are affected by the systemic risks of the insurance industry.Secondly,a theoretical comparison is made between the MES method and the ?CoVaR method for assessing the degree to which a single insurance company is affected by the systemic risk of the insurance industry.Finally,the DCC-GARCH model for estimating the theoretical model of the MES method and the ?CoVaR method is introduced.The third chapter is the empirical analysis of the systemic risk assessment of listed insurance companies in China.Based on the data of the insurance companies' A-share listed insurance companies obtained from the Netease Financial Database,the DCC-GARCH model was used to conduct empirical analysis through the MES method and the ?CoVaR method to evaluate the systemic risk of listed insurance companies in China.The fourth chapter is the research conclusions and policy recommendations.It mainly summarizes the research conclusions of this paper,and proposes the macro-prudential supervision of the systemic risks of China's insurance industry.According to the latest A-share listed insurance company daily rate of return data,from different dimensions and perspectives,not only from the "time" and "space" dimensions,but also from the " the top to the down" and "the bottom to the top" Based on the DCC-GARCH model and using the MES method and the ?CoVaR method,it is found that the systemic risk level of China's listed insurance companies evaluated by the two methods is subject to the dynamic volatility of the listed company's daily rate of return.The level of impact,with procyclicality,is highly correlated with the dynamic fluctuations in the daily rate of return in the insurance market.However,the systemic risk level of the listed insurance company evaluatedby the MES method does not coincide during the period of violent fluctuation of the systemic risk level of the listed insurance company as assessed by the ?CoVaR method,reflecting that the systemic risk interaction between the listed insurance company and the insurance market has two ways,whic are allocation way and contribution way,and the allocation way is mainly concentrated during the occurrence of systemic risk events,while the contribution way is mainly concentrated during the period before and after the systemic risk event.