Research On Systemic Risk Measurement Of Chinese Stock Market Based On Copula-MIDAS-CoVaR Model

With the increasing internal and external pressures facing China's economic growth,the party and the government have repeatedly mentioned the issue of systemic financial risks,highlighting their great emphasis on preventing and resolving systemic financial risks.In recent years,the trend of integrated operation in my country's financial industry has accelerated,and the degree of financial innovation has continued to deepen,which has led to the continuous deepening of inter-institutional linkages and the formation of a complex and close risk-related network,posing a huge threat to my country's financial security and stability.Therefore,measuring systemic financial risks,analyzing their spillover effects in financial institutions,and identifying systemically important financial institutions are conducive to building a scientific and effective risk prevention and control system,and strengthening the regulatory agencies' risk prevention and control capabilities and policy foresight Firmly holding the bottom line of avoiding systemic financial risks is of great significance to ensuring the stable development of my country's economy.Based on the above background,this article uses the mixed data sampling method to effectively combine the macro factors and the financial market to construct the Copula-MIDAS-Co Va R model,use it to measure the systemic financial risk spillover situation of 36 listed financial institutions,and focus on analyzing the systemic nature of my country Changes in financial risks,and adopts a tail risk spillover network to clarify the internal spillover effects of financial risks in depth,and identify systemically important financial institutions in consideration of factors such as the size of the institution,the direction of infection,and the path.The main conclusions are as follows: First,the systemic financial risks have increased significantly during the trade friction period.Through comparative analysis of the ?Co Va R values of the two periods,it is found that the systemic financial risks of financial institutions have increased significantly during the trade friction stage,and the volatility has increased,revealing that the trade friction has a significant impact on my country's financial market.Further analysis shows that the securities sector has the largest volatility during the trade friction stage,followed by the insurance sector,and the banking sector has performed steadily,indicating that the securities sector has a higher systemic financial risk.Second,there is a systemic financial risk resonance effect among financial institutions.The financial sector's risk output and input correlation level trend is basically the same,but there are differences in the cross-sectional dimension,which fully reflects the existence of risk contagion among financial sectors,and has the characteristics of strong correlation and rapid transmission.Abnormal fluctuations in a single sector will be transmitted through risk correlation channels In other sectors,it causes the overall financial system to resonate and further increases systemic financial risks.Third,the systemic importance of insurance institutions has increased significantly.On the basis of considering both the level of correlation and the structure of the correlation,the SRR and SRE scatter plots reveal that the degree of systemic importance of insurance institutions in the financial sector has increased significantly.Among them,Ping An of China contributes the most to systemic financial risks and should be recognized as a systemically important insurance institution.The securities sector is clearly divided.Leading securities firms such as CITIC Securities and Huatai Securities have a relatively high degree of systemic financial risk,while small and medium-sized securities firms have a relatively low degree of systemic financial risk.