An Empirical Research Of Chinese Financial Systemic Risk Based On DCC-GARCH

After the financial crisis, the world’s major economies and international financial organizations focused on realizing the innovation of financial regulatory system core concept of macro-prudential supervision of the financial regulatory system, in order to prevent and mitigate systemic risk in the financial system. China is in a critical period of transition and reform of the economic system, fully maintain the stability of the financial system, and actively prevent and control systemic risk in financial institutions will be the focus of future financial regulatory work, and so far, the domestic measure of systemic risk Research has not yet formed a complete theoretical system.With this background, the dissertation firstly review and summary existing literatures on the definition and measure methods of systematic risk. After the literature review, this dissertation takes on the theoretical analysis of financial systematic risk, summaries the definition and characteristics of financial systematic risk and states factors and measure methods of financial systematic risk. Then the dissertation analyses Chinese financial systematic risk deeply with qualitative method. The analysis not only mainly introduces operating current situation of Chinese financial industry and status of systematic risk after financial crisis but also sets out the factors of Chinese financial industry systematic risk by analyzing different indicators. The fourth chapter of this dissertation is the empirical analysis of Chinese financial systematic risk with MES. In this chapter, it firstly gives out the introduction of measure MES with DCC-GARCH model. Secondly, it describes the selection of sample and data and then implements the stationary tests with closing price of stock sequence. Lastly, it comes out the empirical conclusion of this dissertation by software analysis. In the last part of this dissertation, it points out several policy suggestions to prevent Chinese financial systematic risk which are establishing and perfecting the effective methods and index system to identify and assess systematic risk; and establishing complete macro-prudential regulation system and also keep in mind with the micro-prudential regulation system.The innovations of this dissertation are as follows:first, based on the summary of systematic risk measurement method, this dissertation describes the marginal expected shortfall method (MES) from Acharya (2010), a better measure of the rate of return when the market fell extreme circumstances when the expected loss rate of return of financial institutions (MES) is in a crisis when the entire financial system still has relatively high expectations of losses. Second, by the closing price of listed financial institution data and DCC-GARCH model is more accurate estimate of the value of the MES, a good solution is difficult to select the data drawbacks of the original method, while avoiding CoVaR methods are not well investigated doors tail expectation value less extreme situations.