| Under the background of economic growth shift,imperfect financial system and financial mixed operation,the systemic risks accumulated by our financial industry in the long run have not been underestimated,the prevention of systemic risk has become the eternal theme of financial work,and the related research has become a hot topic in academia and industry.Many scholars have carried out extensive research on systemic risk from the aspects of connotation,conduction,measure and influence.However,most of the literatures regard the financial system as a whole,or only study the systemic risk of single industry,and pay less attention to the risk conduction among the financial industry.But most of these few results only studied the risk conduction among two financial sectors and lack the overall consideration of the relevance between multiple financial sectors.Taking the above background,Taking the above background into account,based on in-depth study of systemic risk theory and current situation,this paper selects Vine Copula-SV-t model to characterize the interdependence structure between financial industries,to measure the systemic risk spillover effect of China’s financial industry more accurately.Firstly,the paper captures the volatility characteristics of the yield of each financial industry through the SV-T model,then uses the maximal spanning tree method to determine the R-vine structure among the industries,and combines the copula function to establish the joint distribution of the return of the financial industry,and calculates the risk spillover effect of the Co VaR value measure in each industry.Through the empirical research,it is found that the VaR and Co VaR value is the smallest,and its steady operation is very important to prevent systemic risk.The securities industry and the insurance industry play the role of node in the process of risk spillover,and the risk can be indirectly overflowed through the two industries.In the aspect of overflow intensity,the risk spillover of the securities industry is great,and the risk spillover intensity of the multiple financial industry such as trust is greatest. |
