Measurement And Evaluation Of China's Capital Market Sectoral Systematic Risk Contribution

The evaluation of systematic risk contribution of industries has always been an important part of preventing and defusing major global financial risks,while most studies are limited to the risk measurement of systemically important financial institutions at the micro-level.This paper will construct the CES(Component Expected Shortfall)index from the perspective of sectoral systematic risk contribution,measures the system risk contribution to various industries in China's capital market in recent years,then combine with the historical trend to make a prediction analysis.The research found that the systemically important industries are changing over time: The systemic risk contribution in the financial industry decreased significantly before and after the "deleveraging" policy,while the systematic risk in some industries rose in stages.The industrial sector is significantly higher than the financial sector,especially in 2015,the systematic risk of the industrial dominated the abnormal fluctuations in the capital market.And for the next two years,the trend has maintained this momentum.The regulatory authorities should pay more attention to the alternation of systemic risk in various industries over the years,and adopt industry-specific prudential supervision measures promptly to monitor and contain systemic financial risks more effectively.The chapter structure of this article is divided into four parts.The first chapter is the introduction.It introduces the research background of this article and the importance of this issue,expounds the relevant literature review on systemic risk measurement,and summarizes the new characteristics of systemic financial risk in China under the new normal..The second chapter is the theoretical part,which lists the more popular measurement methods in the current academic and compares these systematic risk measurement methods.On this basis,the author chooses the innovative industry system risk contribution measurement proposed in this article,and clarifies the advantages of the measurement method.The third chapter is the empirical part.First describe the data samples used,and explain why the period sample is selected;second,characterize the "temporary and violent" characteristics of systemic risk outbreaks,select the time period of systemic risk outbreaks in recent years,and respond to events at this stage Classify the causes;finally,use the method selected in Chapter 2 to measure the system risk of various industries and compare and identify the system-important industries on an annual basis.Chapter 4 summarizes and analyzes the fluctuations of system risk contributions over time in various industries.The empirical results found that,on average,the systemic risk contribution of the financial industry still has a major but non-absolute status in China's capital market.It was found in the dynamic ranking of China's systemically important industries that the system also triggered a system before and after abnormal fluctuations in our capital market in 2015.The replacement of important industries,the system importance of the information technology industry has gradually increased,replacing the status of the traditional energy industry,which means that China's energy industry is currently undergoing important changes,and new energy and emerging technology industries gradually cover the people of the country,which also means that China's high-tech technology is undergoing rapid progress after 2015.In addition,the systemic risk contribution of industry has played the role of "stabilizer" and "ballast stone" in the period after strong fluctuations in the capital market.The status of industry in China's economy The slowdown in growth and the period of sluggish global economic growth have played a key role,which is of great significance for China to cope with more uncertain factors in the future.The new idea of this article is from a research perspective.Based on the existing literature,this paper has made an exploratory study based on the current state of the economic structure and the background of the times in China.The structural component expected loss index(CES)measures the risk of China's industry system.Based on the "top-down" research idea,the overall market risk is dispersed into the sum of the system risk contributions of various industries,and the system-important industry is selected by referring to the selection method of system-important financial institutions.Although the study of systemic risk is currently a hot topic and research perspective,the vast majority of literature is limited to the construction and measurement of indicators of the financial institution's system importance in the financial industry.There is little literature on the risk of various industries in the capital market.However,it is found through research that the systemically important industries are not static,and the systemic importance of the financial industry is gradually decreasing.Preventing and resolving major financial systemic risks should be based on the overall situation and implement precise policies,which is important for the policy implementation of regulatory authorities.Practical significance.