Systematic Risk Analysis Of Listed Financial Institutions In China

The financial crisis,which began in the United States in 2007,and finally spread to the country,has dealt a heavy blow to global financial institutions.As a result of the development of economic globalization,the economic ties between countries are becoming increasingly close,so it is significant to study the systemic risk measure of financial institutions and the infectiousness of their risks.Based on the marginal expectation loss MES and the systematic risk index SRISK,26 listed financial institutions listed in China before 2008 include 14 commercial banks,6 securities companies,3 insurance companies,3 trust companies conduct systematic risk measures.By using the MES and SRISK models,each sequence is estimated separately,and the ranking of the systemic risk contribution of listed financial institutions in China and the funding gap of each listed financial institution are measured.The empirical results show that the systemic risk of each financial institution is obviously higher than that of the financial crisis during the financial crisis.The anti-risk ability is an important factor affecting the marginal risk contribution MES,the stronger the anti-risk ability and the smaller the marginal risk contribution.The systemic risk index SRISK is proportional to the size of the financial institution,the larger the scale,the higher the systemic risk index.Thus,SRISK's ranking is more consistent with actual intuition,but this does not mean that the MES measure is inaccurate,because MES focuses primarily on the marginal risk contribution of financial institutions,and SRISK focuses on the overall systemic risk contribution of financial institutions.According to the results of the survey to be informed: the establishment of a scientific and rational system of systemic risk early warning system;to strengthen the importance of the system of financial institutions;strengthen the financial institutions to withdraw from the mechanism.