Research On Contagion And Early Warning Of Systemic Financial Risk Based On Tail Risk Network

As financial institutions become more and more interconnected,risk spillovers from a single financial institution can easily trigger a chain reaction,and extreme events can easily trigger tail risks and spread rapidly along the financial system.Due to the cross-integration of business between financial sub-markets,the mixed operation and cross-market business of financial institutions have formed a closely linked tail risk network among financial institutions,increasing the possibility of systemic risk outbreaks.So far,financial system is still deficient,shadow banking,real estate and other fields.The complex international situation and the frequent outbreak of the Covid-19 in China have further aggravated the vulnerability of the financial system.In views of this,risk contagion combined with the tail risk network is of great significance for preventing the outbreak of systemic risks.Based on the theory of tail risk and the theory of systemic risk contagion,this paper first uses the quantile regression-Δ Co Va R model to construct a tail risk network and studies from institutional and industry dimensions,and then uses complex network analysis methods to correlate the tail network from the node and network dimensions.to measure the contagiousness of systemic risks and analyze the contagion characteristics of systemic risks.Secondly,the tail correlation index is incorporated into the early warning index system and the KLR signal analysis model is used for early warning of systemic risk.Finally,after confirming the reliability of the early warning model by comparing and analyzing with the comprehensive financial stress index,it forecasts and warns the systemic risk level of my country in the future years.Through theoretical and empirical research,it is found that: first,under high-risk conditions,the securities sector has the highest risk spillover,followed by the insurance sector;under low-risk conditions,the insurance sector has the highest risk,followed by the securities sector,and the banking sector is the most stable;When shocks strengthen,the banking sector is the most stable,the securities sector the most vulnerable,and the insurance sector in between.Secondly,tail risk network has the characteristics of a typical small world.The network is highly interconnected,and various institutions are interconnected and influence each other,which makes the financial system as a whole have the characteristics of soundness and vulnerability.Thirdly,the tail correlation has a good effect as an early warning indicator,and can effectively make up for the shortcomings of the traditional early warning system when a tail event occurs.Finally,according to the systemic risk early warning index,the probability of future systemic risk outbreaks is low,but some indicators of fiscal risk,real estate,exchange rate and the tail network are on and need to be paid attention to.This paper proposes policy recommendations for the prevention and control of systemic financial risks from the dimensions of individual institutions,risk network systems,and macro-policy matching.