Measurement And Evolution Characteristics Analysis Of The Systematic Risk On China’s Financial Institutions

After the global financial crisis,regulatory authorities in various countries generally recognize that there are often complex links between individual institutions in the financial system,and the risk of individual institutions will continue to accumulate and spread among different financial institutions,and eventually lead to the outbreak of a large-scale financial crisis.With the implementation of Basel III,more and more attention has been paid to the systemic risk which emphasizes the contagion of financial risk.Scholars have also made in-depth research on the potential systemic risk in the economic system from multiple perspectives and achieved many results.It is the basis of financial systematic risk prevention and control to accurately measure the systematic risk of financial institutions and comprehensively analyze the risk characteristics of financial industry.For this reason,this paper selects the data of 33 sample financial institutions from December 2007 to January 2020,first calculates the default risk index of individual financial institutions using CCA method,and analyzes and summarizes the calculation results;then constructs the joint distribution of expected losses of the whole financial industry and the three financial sub industries of Bank guarantee in China based on vine SCCA method,and calculates Finally,the calculation results are analyzed.After completing the above work,based on the results of empirical research,this paper attempts to make policy recommendations on risk monitoring and prevention,in order to help the regulatory authorities of our country to make timely and accurate judgments on the systemic risks of different financial institutions and different financial industries,and assist the relevant departments to prevent and resolve the potential systemic risks of our financial industry.After empirical analysis,this paper finds that when the financial market in our country encounters a major crisis,the risk correlation of each financial industry is significantly enhanced,and the risk level will increase dramatically in the short term.Among them,the banking industry is the main contributor to the risk,while the risk from non-bank financial industries such as insurance industry and securities industry is relatively small,but it can not be underestimated.In addition,large state-owned commercial banks and major insurance institutions may cause extremely serious damage to China’s financial industry in a major crisis.During the period of stable economic operation,some small-scale risk events will lead to financial risks gathering in a certain industry.Although small-scale risk events will cause potential risk pressure to other financial industries,the possibility of risk exposure is relatively small.On the whole,the banking industry has stronger risk resistance,while the securities industry has the most sensitive response to the market.Compared with the previous research on systemic risk,the innovation of this paper is to further consider the systemic risk of non-bank financial industry,and put China’s banking,insurance and securities industry into the same research framework,respectively from the perspective of micro individual,meso industry and macro overall perspective to summarize the risk characteristics of China’s individual financial institutions,and to summarize each financial subsidiary The contribution degree of industry’s systematic risk is measured,and the time-varying characteristics of the overall systematic risk are analyzed,which further improves the previous research framework.