| The financial crisis in recent years has had a far-reaching impact on the global financial system and the real economy,and have brought a heavy blow to the governments of various countries.Although the insurance companies in China have not faced serious economic shocks like the western commercial banks and American International Group,they still bear risks that cannot be ignored.Since the "Insurance Law" of China was promulgated in 1995,the scale of insurance premiums has continued to grow rapidly,and the balance of insurance funds has increased rapidly.Insurance funds can be invested through various channels.China’s insurance industry has a high degree of market concentration,with more than half of the insurance premiums of listed companies.The importance of the insurance market has gradually become prominent,and its relationship with financial markets has become increasingly close.As a result,the probability of systematic risks occurring in China’s insurance industry and insurance companies has gradually increased.The "Guidance on Regulating Asset Management Business of Financial Institutions"(hereinafter referred to as the "New Regulation on Asset Management")issued by the Central People’s Bank of China and China Banking and Insurance Regulatory Commission and other departments was formally issued on April 27,2018.It includes a series of measures to supervise the asset management business of financial institutions.The issuance of the new regulation has had a significant impact on the financial industry in our country.After a one-year transition period,the new regulation on asset management was formally implemented on January 1,2022.At present,China’s financial market is in urgent need of governance due to the influence of rigid payment and multiple layers of nesting.The new regulations on capital management are issued to control the chaos in the capital management market.Its landing has also had a profound impact on the insurance asset management in terms of capital source,investment management,competitive environment,etc.Although the risks in China’s insurance industry are generally controllable,the risks should not be underestimated.On the one hand,from the perspective of external environment,the global economic situation is complicated and the risks of the insurance industry are highly uncertain,and are inevitably impacted by contradictions.From the inside of the industry,due to the release of the complicated contradictions accumulated over the years in China’s insurance industry,the development model is undergoing a major transformation,and at the same time,it is in a special period such as a crucial period to prevent and resolve risks.The risks hidden in some important fields and institutions are gradually revealed.Under such a complicated internal and external environment,the probability of systematic risk occurring in insurance companies is gradually increasing,and the harmfulness of risk spread is increasing.Therefore,the importance of systematic risk management for insurance companies and insurance industry is highlighted.Therefore,this paper explores the systematic risk of the insurance industry under the background of the new asset management regulations,and finally gives some suggestions on the systematic risk supervision of insurance industry by analyzing the empirical results.In the first part,introduce the background and significance,and then gives a brief introduction to the research content and methods of this paper.Next,this paper reviews the literature from the following four aspects: the research on the meaning of systematic risk,the research on systemic risk caused by insurance industry,the measurement of systemic risk spillover effect,and the impact of rigid payment on the systematic risk of insurance industry,combing,elaborating and summarizing the latest research results at home and abroad.The second part is the theoretical introduction part,according to the theoretical framework from the meaning of systematic risk,the connotation of systematic risk in the insurance industry,the formation reasons and performance characteristics to the insurance industry systematic risk spillover mechanism,to elaborate the insurance industry systematic risk theory in detail.Among them,in the part of systematic risk spillover mechanism of insurance industry,the analysis is carried out according to the logic from micro to macro,from institution to market,from insurance institutions to insurance institutions to insurance industry,and then to insurance industry to banking industry and securities industry.The third part introduces the measurement methods of systematic risk spillovers,mainly including CoVaR related theories and models,and gives the CoVaR model based on quantile regression.In the fourth part,the empirical research is carried out,the stock price of five listed insurance companies in China and the index data of insurance,banking and securities industries are selected and processed logarithmically,then descriptive statistical analysis and stationarity test are carried out,and their characteristics are observed graphically to ensure that the data meet the modeling requirements,and then the data are modeled by using the CoVaR method of 5% quantile regression.This paper explores the systemic risk spillovers among insurance companies,insurance companies to insurance industry and insurance industry to other financial subindustries respectively,and analyzes the changes of the systemic risk spillovers in insurance industry after the implementation of the new asset management regulations through the empirical results and analyzes the internal reasons.The fifth part,combined with the empirical results,puts forward relevant policy recommendations on the supervision and prevention of systematic risks in China’s insurance industry from the perspective of the insurance company’s own risk management and the supervision of regulatory agencies.The conclusions of this paper are as follows:(1)Different insurance companies have different degrees of risk spillovers due to different ownership structure,different business scope and different investment methods;After the implementation of the new capital management regulations,each insurance company’s own risk level and risk overflow level have both decreased.(2)Insurance companies have systemic risk spillovers to the insurance industry,and after the implementation of the new asset management regulations,the level of systemic risk spillovers of each insurance company to the insurance industry has decreased.(3)Insurance industry has systemic risk spillover effect on other financial sub-industries such as banking and securities industry,among which the systemic risk spillover effect of insurance industry on securities industry is greater than its risk spillover effect on banking industry.After the implementation of new capital management regulations,the systemic risk spillover effect of insurance industry on other financial sub-industries has decreased significantly.The possible innovations of the text are as follows: First,the previous research is mostly single format.This study not only studies the systemic risk spillover between insurance companies from the micro level,but also studies the systemic risk spillover from insurance companies to the industry from the macro level.Secondly,there are few cases of systematic risk research in the background of the new asset management regulations,and most of them are aimed at the systematic risk of the financial industry or only at the systematic risk of the banking industry.This paper analyzes the impact of the new asset management regulations on the systematic risk of the insurance industry,and verifies it from the perspective of comparison before and after the implementation of the new regulations.Thirdly,according to the results of the research,this paper puts forward regulatory suggestions based on the impact of the new capital management regulations on the insurance industry and the implementation of the compensation second generation.It considers that we should not only set out from the insurance industry,establish and perfect the regulatory policies of the industry,strengthen macro and micro prudential supervision on the basis of an effective legal framework,but also deepen the reform of solvency supervision on the basis of "compensation second generation" to improve the solvency of insurance companies;From the perspective of insurance institutions,relevant risk management should be carried out in view of the procyclicality of the insurance industry,corporate governance and internal control should be strengthened within the insurance companies,and an effective supervision system should be formed to comprehensively prevent and resolve systematic risks at all levels of the business,which will enrich and innovate the existing research recommendations. |
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