The Measurement And Analysis Of Systemic Risk On China's Insurance Industry

Insurance companies represented by American International Group went bankrupt in the financial crisis and obtained huge government grants,and it broke the traditional view that the insurance industry did not generate systemic risk.Based on the time-varying GARCH-Copula-CoVaR model,this paper studies the spillover effect of systemic risk on Chinese insurance industry from January 2007 to December 2017,and uses the Forward-?CoVaR model to study the influence factors of risk spillover on the insurance industry.Specifically,firstly choosing a better marginal distribution model based on the data characteristics of eight series.Secondly,two methods are adopted to test the existence of dynamic relevant structure of each pair of eight sequences,then five dynamic copula models are respectively estimated for each pair of eight sequences,and the optimal copula model are selected.Thirdly,based on the optimal time-varying copula model,?CoVaR and%CoVaR for each pair is calculated.Fourthly,building the index system of Chinese systemically important insurers,and using the principal component analysis method to transform the multiple indexes system into one or several mutually independent comprehensive indexes,and then selecting these comprehensive indexes,as well as other five variables as the explanatory variables,and analyzing the influence from the above variables to the forward systemic risk of insurance companies at last.The main conclusions are as follows:(1)There is a significant two-way and asymmetric risk spillover effect among the insurance industry and the insurance with other financial industries;(2)The systemic risk spillover between the insurance industry and the banking industry is highest and the banking industry is the sub-sector that contributes most to systemic risk in the financial industry;(3)During the subprime mortgage crisis and the Chinese stock crash,the systemic risk spillover of Chinese insurance industry was significantly higher than that of other time periods;(4)Size,covering area,interconnectedness and so on all have a positive effect on the systemic risk spillover of insurers.