Systemic Risks And Influencing Factors Of Chinese Financial Institutions:

After the outbreak of the global financial crisis in 2008,people have increasingly realized that the speed and scope of systemic risk contagion,and their destructiveness to the real economy far surpass the risks of individual financial institutions.How to prevent systemic risks has become a focus topic of government regulatory agency,academic and financial industry.The causes and mechanisms of systemic risk are very complex,including the fragility of financial institutions themselves,the risk contagion among financial institutions,the sentiment of market participants,and changes in macroeconomic and financial cycles.Judging from the many crisis incidents in recent years in China,such as the "shortage of money" in 2013 and the "Chinese A stock market crash" in 2015-2016,the risks accumulated in the market will eventually spread rapidly,and eventually lead to a very serious economic and financial disaster.In recent years,the international and domestic economic environment that China is facing has been very complicated,various risks have been accelerating agglomeration,and the possibility of outbreak of extreme financial events has increased dramatically.We urgently need to study clearly the risks of China’s financial institutions and financial systems and implement supervision.Therefore,how to correctly measure the systemic risk of financial institutions?What factors will affect the systemic risk of financial institutions?Can historical data predict the systemic risks of Chinese financial institutions and provide guidance for risk supervision?This article measures Chinese financial institutions’ systemic risk based on the CoVaR method of Adrian and Brunnermeier(2016),and considers more extreme tail risk condition and can more clearly understand the characteristics of systemic risks of Chinese financial institutions.Furthermore,we also considered the impact of macroeconomic conditions,financial market stability,and the characteristics of financial institutions on the systematic risks of Chinese financial institutions,and constructed the Forward-ΔCoVaR index to forecast the systematic risks of Chinese financial institutions.Our empirical results show that corporate size,leverage ratio,maturity mismatch,and ROA characteristics significantly affect the systematic risk contribution of Chinese financial institutions.The leverage ratio is proportional to the systematic risk contribution,indicating that the higher the leverage ratio is,the greater the contribution of the systemic risk contribution.The positive relationship between the size of the company and the systemic risk contribution,which indicates that the larger the size of the company,the greater the contribution of the systemic risk,which proves that the big financial companies in China are "too big and unable to fall".The higher the maturity mismatch,the greater the liquidity risk exposure of financial institutions.When monetary policy tightens and market liquidity is insufficient,financial institutions with high maturity mismatches may experience higher systemic risks.The higher the ROA of total assets,the greater the systematic risk contribution of financial institutions,indicating the profitability of Chinese financial institutions accompanied by an increase in risk.When a crisis occurs in the economy,this problem of a profitable institution will be a big source of risk for the entire financial system.Therefore,the regulatory authorities need to focus on preventing systemic risks of financial institutions with high leverage,large size,high maturity mismatch,and good profitability.In addition,the institutions’ own VaR has a significant positive impact on its systematic risk contribution,which means that financial institutions with higher individual risk contribute more to the Chinese financial system.At the macroeconomic level,financial market volatility and maturity spreads have a positive impact,while GDP and financial market yields have a negative impact.Therefore,we must not ignore macroeconomic financial conditions when assessing systemic risks.In addition,we forecast the systematic risks of Chinese financial institutions by constructing Forward-ΔCoVaR indicator.The Forward-ΔCoVaR method is to predict the marginal contribution of financial institutions’ future systemic risk by establishing a quantitative relationship between the significant factors of the systemic risk of the financial institution and.This method can provide a timelier and stable policy basis for macro-prudential supervision policies.The traditional method of risk measurement over the same period will lead to more serious procyclical problems in financial supervision.After the negative events,financial supervision measures based on risk measurements during the same period will cause unnecessary excessive tension,and in the stable period will cause dangerous over-relaxation.In other words,Measures based on the risk measurement of the same period will amplify the negative impact of the negative impact,and will enlarge the expansion of the expansion period.Forward-ΔCoVaR method can solve this pro-cyclical problem of synchronous risk measurement methods.