On The Measurement Of Systematic Risk Of Financial Systems And Its Influencing Factors

The financial crisis in 2008 and the subsequent crisis of European sovereign debt have a great influence on global financial activities.The spillover and infection of systematic risk of the financial system have attracted much attention by international and national academics and supervision department.Most of the academic researches realized that micro-prudential regulation that focused on the risks of individual financial institutions did not completely prevent the financial crisis from happening.Therefore,a macro and prudent management provides a theoretical basis for the preventing and managing the systemic risk.As the financial globalization developing,people realized that the collapse of some large financial institutions and consortium in the banking and insurance industries has a serious impact on the entire economy.Thus,measuring the contribution of individual financial institutions to the systemic risk of the financial system,identifying SIFIs,analyzing the influencing factors of the systemic risk and carrying out prior risk prevention and early warning are of vital significance for the prevention and supervision of the systematic risk of the financial system in China.In order to measure the systemic risk of the public companies in the financial industry and analyze its effect factors,this paper defines the systemic risk and analyzes the reasons for its formation for the analysis with the Co Va R measurement method.By choosing weekly closing price data of 41 public companies from in financial industries,this paper analyzes the impact of the macroeconomic environment on the systemic risk of financial institutions using the time-invariant and time-varying Co Va R models and estimates the dynamic changes of the time series of different financial institutions.To identify SIFIs,this paper analyzes the potential D-SIFIs with index method.Based on the calculated time-varying Co Va R,this paper also analyzes the influencing factors of the systemic risk of the financial system from the four aspects of corporate solvency,development ability,profitability and economic environment.The individual characteristic variables of the financial institutions are becoming increasingly obvious with the increase of the lag,which means that the individual characteristic variables have the timeliness to the systemic risk contribution,and have the influence on the systemic risk within six months.With the analysis of empirical results,the policy recommendations of Chinese systematic risk prevention and supervision system are provided from three aspects,including the definition of the importance of the domestic financial institutions,the implementation of differentiation and targeted management and the improvement of own risk handling capacity of financial institutions.