A Study On The Systemic Risk Measurement About Listed Insurance Companies Based On CoVaR Method

After the financial crisis of 2008, people changed the idea that insurance industry does not produce systemic risk.More and more people thinks that the insurance industry could cause systemic risk. Now plenty of governments begin to pay attention to keeping away the systemic risk from the insurance industry. The insurance industry is in the marketization of premium rate recently. The Chinese insurance industry towards more open.In the supervision work conference of 2015, Xiang, the chairman of CIRC, has said the insurance industry should do the best to prevent risk in order to keep the bottom line of systemic risk. This means that the study of the systemic risk must be on the table. This study selects a point of systemic risk research which studies the spillover effects of systemic risk of Chinese listed companies.Firstly, the definition of systemic risk is given. Secondly this study analyzes the source of systemic risk of the insurance companies. This study combines the current situation of Chinese insurance industry and the available data, and chooses the stock yield of the four listed insurance companies as the research objects. Finally, this study uses the GARCH-CoVaR model to measure the spillover effects of systemic risk and the contribution level of systemic risk. According to the risk, the risks of four listed insurance companies' has been ranked.The results shows that Pingan owns the highest risk, China life owns the minimum risk. In addition, China life is a state-owned insurance company, the others are joint-stock insurance companies. It shows that the risk level of state-owned insurance company is lower than the joint-stock insurance companies, and its systemic effect is relatively weak. The self-risk of New China life is low, but the risk level of its systemic risk is similar with Pingan. It seems that a company with low self-risk also can cause greater systemic risk. According to the measure results, systemic risk factors of the insurance companies have been analyzed.In the end of this study, recommendations to prevent systemic risk have been put forward.