Research On The Financial Risk Contagion And Prevention Based On Trail Risk Network

With the deepening of financial innovation,as well as the interactive development between the financial sector and mixed type management.The financial innovation makes the financial industry booming and increases the relevance between organizations at the same time,forming a complex relation network,a single agency business profit and loss,risk factors,which,based them,are transmitted by the network between the system.Therefore,on the basis of considering the correlation,it is of great significance to dynamically measure the systemic risk level of financial risk-related departments,depict the financial risk correlation network,and identify the risk contagion path,so as to enhance the stability of China’s financial market and improve the ability to prevent financial risks.Based on the identification of the level of systemic financial risk in institutions and the description of the transmission path of systemic financial risk among institutions,this paper summarizes the research on the measurement of systemic financial risk and the risk contagion network at home and abroad,expounds the inherent fragility of the financial system theory,and elucidates in detail the construction of a tail risk network measurement method.This study will,combined ΔCoES model with a tail risk network model,to fully depict inter-agency risk transmission path,accurate measurement agencies overflow level of systemic risk,extends the previous studies for single banking sector of risk transmission network only,the simulated construction of banking,securities,insurance,real estate sector systemic financial risk transmission network,describes the relationship between systematic risk transmission between the agencies and analyzes the path to financial institutions risk network transmission.In the empirical study,this paper adopts time-efficient financial market data to represent the return on assets of institutions,and takes the overflow level of systemic risk of institutions on January 1,2014(solstice),December 31,2018 as the data basis to further construct the tail risk network and analyze the network characteristics of institutions and departments.Specifically,first of all,quantile regression technique of sample interval is used to calculate dynamic ΔCoES in all financial institutions,quantize sector institutions in extreme conditions of dynamic risk spillover level,and grasp the systemic financial risk spillover level agencies from the depth of influence level.Secondly,according to the difference in the volatility level of the financial market in the sample interval,the sample interval is divided into periods of fluctuation and periods of stable operation of the financial market,and the tail risk contagion network is constructed and visualized respectively.Finally,the roles and positions of different institutions in the financial risk contagion network are analyzed by comparing the correlation characteristics,correlation paths and correlation density changes of nodes in different market environments.The empirical results show that,first,when banking institutions and insurance institutions are in crisis,the overflow level of systemic risk is high,bur their own antirisk ability is strong while the level of systemic risk spillover of securities institutions and real estate institutions is low,but their ability to resist risks is poor.Second,in different market environments,the correlation between the level of systemic risk spillover among institutions and the density of risk contagion networks are different.Thirdly,from the analysis of department density characteristics,the density of the risk transmission network of the securities department is obviously higher than the risk receiving density in each interval,and the spread range is wider,and the information control ability is stronger.The correlation degree of the banking sector is high in each period,but in different market environments,the function of the banking sector in the contagion network is quite different,which is mainly manifested as risk acceptance in the period of large market fluctuation,and risk transmission in the period of small market fluctuation.Insurance sector in each period and other industries constitute a high correlation density,and the performance of two-way impact characteristics.The position of the real estate sector in the risk correlation network shows obvious cyclical factors,and the industry internal correlation is high.Based on the above empirical study,this paper gives targeted policy regulation: first,to strengthen dynamic ΔCoES monitoring in the risk early warning mechanism help to improve the ability of identifying institution systemic risk.Second,to comprehensively consider the roles of different institutions and departments in the risk contribution level and risk contagion network to better improve the financial supervision mechanism.Third,to improve the concept of financial risk regulation.On the basis of considering the size of institutions,we need to take into account multiple indicators such as relevance,institutional stability and risk tolerance.