Risk Measurement And Contagion Research Based On ES Joint Regression

Since the reform and opening up,our country's economic level has continued to increase.In recent years,our country's economy has maintained medium-to-high-speed growth,and China's financial industry has also shown a good development trend.However,the financial crisis in 2008 and the current sudden new crown pneumonia epidemic Under multiple severe shocks such as the deep recession of the world economy,the world attaches great importance to the occurrence of systemic financial risks.In the report of the 19th National Congress of the Communist Party of my country,China clearly stated:"We must improve the financial supervision system and guard the bottom line of preventing systemic financial risks;preventing and resolving systemic financial risks is the primary mission of financial supervision." In this context,The research on the systemic risk transmission mechanism and influencing factors of my country's financial industry is particularly important.It not only provides theoretical basis for risk early warning,crisis prevention,and financial supervision,but also helps build a macro-prudential control framework and deepen the supply-side reform of the financial industry.From the perspective of extreme risks,this article explores the contagion effects of extreme risks among the banking,securities,and insurance sectors in the financial industry.The article introduces autoregressive items on the basis of the quantile ES joint regression model to explore the risk measurement ES Autoregressive influence situation,and use real data to demonstrate.At the same time,this paper further uses the methods and ideas of MVMQ-CAViaR to construct a new multi-quantile and ES joint regression model to explore the risk linkage between different sectors.The risks studied include not only the VaR in the traditional method,but also the ES which is more accurate for risk measurement.The empirical part of the article first introduces the autoregressive term into the joint regression model to explore the impact of lagging quantiles and ES on current risks.Through the estimation results,we can see the risk VaR of banks,securities and insurance sectors.There is an autoregressive phenomenon in both ES and ES,which shows that the lagging risk of the market is not only the autoregressive phenomenon of VaR,but also the autoregressive phenomenon of ES,which has more accurate risk measurement.Subsequently,the article also constructed a multi-quantile joint regression model based on the structure of the MVMQ-CAViaR model and the ES joint regression model.This model took into account the contagion effect of the traditional risk VaR and introduced a new risk measurement ES to explore the market.The empirical results show that the risks of the securities sector,whether VaR or ES,will be affected by risk shocks from other markets,while the risk linkage effect between the insurance sectors of the banking sector is not obvious.