The Research Of The Financial Systemic Risk Based On The Market Data

The outbreak of the 2008 USA financial crisis caused the world financial crises, it was following another global financial crisis--the Asian financial crisis.The financial crisis makes the government departments and regulatory authorities recognize that the accumulation of the financial system risk and the profound lack of macroprudential supervision is the main cause of the financial crisis. The outbreak of the financial crisis causes a large number of scholars and regulators to pay much attention to this issue, at that time, many scholars research the relevant issues. In the context, we study the corresponding financial systemic risk. Firstly, we analyze the research background, research significance and the corresponding basic theory. Secondly, we pay attention to the study trend of systemic risk, at this time, we analyze the differences among them. Finally, based on the study about the systemic risk above. We conclude the methods that we will use in this paper, and then, we choose the observing subjects and the models to analyze the systemic risk.We pay main attention to the measure of systemic risk between China’s financial institutions and the identify of systemically important financial institutions. Through the detail analysis about the study of systemic risk in this paper, we arrange the chapters and context as following:The first chapter is introduction. In this chapter we mainly discuss the research background, research significance, the corresponding research contents and methods of the systemic risks, in order to be ready for the corresponding analysis and the innovation in this article.The second chapter mainly analysis the financial systemic risk formation mechanism.In this chapter, based on the generation and prevention mechanism of the systemic risk, we mainly study the meaning of macro-prudential regulation, the difference between macro-prudential regulation and micro prudential regulation, the development of macro-prudential regulation, the definition, characteristics, classification, causes, the generation mechanism, transmission mechanism of the systemic risk, though the corresponding study,we hope it can be ready for the following empirical research.The third chapter is the literature review about the financial systemic risk measurement model.In this chapter,we mainly discuss the systemic risk measurement model.We divide them into five parts,they are the probability distribution measurement, contingent claim and default measurement, illiquidity measurement, analysis of network measurement and macroeconomic measurement.We analyze the corresponding measure model and the previous research, analyze the differences between the study about the domestic and foreign scholars,Though the study above,we attempt to compare the measurement methodsand get some improvement about this, which sometimes can provide new ideas for further research.The fourth chapter mainly introduces the model theory.In this chapter,we mainly discuss the VaR theory, CoVaR theory, GARCH model, copulas connect function, and build the CoVaR quantile regression model, GARCH-CoVaR model and time-varying copulas connect-GARCH-CoVaR model, though the corresponding study,we hope it can give the theory basic for the following empirical research.The fifth chapter is about An empirical study on the method of CoVaR based on Chinese systemically important banks, at the same time, we contrat the differences between the GARCH model and quantile regression method.We choose the CoVaR method and the research subjects, Use the above methods to give empirical analysis, then we analyze the differences between the methods, and study Systemical important financial institution.The sixth chapter bases on the time-varying copula-GARCH-CoVaR model to resrarch the financial market systemic risk in China.In this chapter,we introduce the time-varying copula connect function, build the time-varying copula-GARCH-CoVaR model, and select financial crisis period and adjustment data about our country’s banks, insurance and securities financial institutions in the two periods to study systemic risk and the ratio of financial systemic important institutions,.Though the study above, it can present the risk status and provide the corresponding basis for macro-prudential regulation.The seventh chapter is the conclusion and prospect.In this chapter,we give a detailed analysis about the result of the empirical part of the research, and draw the corresponding conclusion, then we give the future research direction of the financial systemic risk.In a word, through detailed study about the financial systemic risk, systemic risk measurement models and the systemical important financial institution.we give the differences between the models, analyze the dangerous situation in the financial market.we hope it can provide the new ideas for further research.