Measurement Of Systemic Risk In China’s Financial Industry And Risk Network Research

The world economic crisis in 2008 has had a profound impact on the world.After 2008,China has also experienced several financial risk events;The outbreak of COVID-19 at the end of 2019 has had a certain impact on China’s economic development in 2020.In recent years,preventing and resolving major risks has become a focus of China’s financial work in the new era.Research on how to better measure the risks of the financial industry,identify the transmission and accumulation of systemic risks in advance,and do a good job in prevention and early warning before the occurrence of financial risks,which has a certain practical significance for the development of China’s economy.Based on LASSO quantile regression method,this paper uses CoVaR model to analyze the data of 30 listed financial institutions in China from October 2010 to October 2021.Firstly,through a series of measurement indicators to reflect the risk correlation level between institutions,and constructs a time-varying tail risk network.Then,it measures and analyzes the risk correlation level from the perspectives of financial system,three major financial industries and financial institutions;This paper constructs the tail risk network in the whole sample period and risk outbreak stage,and studies the risk transmission path and transmission characteristics between industries and institutions.The conclusions are as follows:(1)in terms of risk correlation level,the risk correlation level of the overall financial system changes periodically;The correlation level of risk input and output of the securities industry is the highest among the three industries.The change trend of the correlation level of the three industries is consistent,and the correlation structure between industries is real;Banking institutions are relatively stable among the three industry institutions,and securities institutions are the most sensitive and vulnerable;(2)In terms of risk network correlation structure,under the average condition of the whole sample period,the risk transmission of strong affiliated institutions is mainly concentrated among institutions with similar business scale and strong homogeneity in the same industry;In the stage of risk outbreak,the transmission path of risk in the industry is changed to transmission among institutions with different business models.(3)On the whole,the transmission of risk between institutions and industries is bidirectional,which will have mutual influence between institutions and industries.This transmission will lead to the continuous accumulation of risk and the final outbreak of systemic risk.Finally,based on the measurement of systemic risk and the research of risk network in the financial industry,this paper puts forward relevant policy suggestions for reference.