Research On Financial Systemic Risk Based On Copula Theory

With the continuous development of the world economic and financial globalization and integration,the interdependent structure of financial industries and financial industries has become more diversified and complex,and the linkage has become more common and closer.Although the global financial market in rapid development,but also has a certain hidden trouble at the same time,with the outbreak of the financial crisis,in the history of the subprime mortgage crisis and the crisis of rash,make us realize that one country financial market financial extreme events often can in a short period of time through various channels spread rapidly on a large scale,make its spread to the entire international financial market,and then evolved into a global systemic risk.Therefore,how to effectively measure the financial systemic risk to prevent the occurrence of crisis is a hot topic in the academic circle and even the international regulatory authorities.At present,the more mature Copula connect related theory can be a very good measure of financial market dependency and the correlation between financial time series,this article from the perspective of dependency and correlation relationship,the research ARMA-GARCH model,Hierarchical Archimedean copula(HAC)model and GARCH-Copula-CoVaR model in the application of financial dependency and correlated risk measure.The daily market price index of seven large insurance companies at home and abroad was taken as the research object to build the model.We establish the GARCH-Copula-CoVaR model for the daily market price index yield series and empirically test the risk effect of core insurance markets at home and abroad.The main purpose is to study the strength of dependency between large insurance companies and the spillover effect of systemic risk among large insurance companies.Combined with the conditional structure of systemic risk spillover effect and dependency among insurance companies,the analysis draws a conclusion.First,in terms of the Chinese market,it can be seen that the risk spillovers between ping an,taibao and life insurance are closely related,which is caused by the fact that these markets all come from China and have the same background of culture,environment and national restrictions.Second,the risk spillover effect is strongest with China's aia,which may be due to the fact that aia in Singapore is also located in Asia and has a similar culture with China,plus the background of One Belt And One Road's policy of asean international cooperation advocated by general secretary xi jinping in recent years.Third,Nippon life insurance of Japan,AXA of France and metlife of the United States.In other markets except China,it can be found that the risk spillovereffect between axa and metlife is relatively strong,and the risk spillover effect between Japanese life insurance companies and insurance companies in other countries is relatively close.