Systemic Risk Measurement And Its Influencing Factors Analysis Of Listed Insurers In China

Since the outbreak of the global financial crisis in 2008,systemic financial risk has been the focus of close attention of governments,regulators and the financial industry.Preventing and resolving major risks is also one of the first three major battles for a decisive victory to build a well-off society in an all-round way.And to prevent and resolve systemic financial risk is an important part of it.Studying systemic financial risk not only has important academic value,but also urgent practical significance.The service scope of modern insurance industry has been expanding,the role of insurance companies in the financial system is becoming more and more prominent,and the relationship with other financial institutions in the financial system is becoming more and more close.The systemic risk of insurance industry has become an important aspect of the systemic risk in the whole financial system.Since 2020,China will further expand the opening up of the financial industry,relax the proportion of foreign investment in insurance companies,further increase the relationship between China’s insurance industry and the global financial industry,and increasingly fierce competition between Chinese and foreign insurance companies,so it is particularly important to prevent the systemic financial risk of the insurance industry.Therefore,this paper studies and analyzes the systemic risk of the insurance industry in China.Based on the daily return data of four listed insurance companies in China,this paper selects quantile regression and time series ARMA-GARCH family model to calculate the systematic risk spillover level Co VaR and systematic risk contribution level A Co VaR of listed insurance companies in China.The results show that Ping An(Group)has the highest contribution to systematic risk,which means larger and more complex insurance groups have a higher contribution to systemic risk.Secondly,this paper calculates the spillover level and contribution level of systemic risk among between each insurer,and draws a consistent conclusion with the above.Next,by analyzing the time trend of the contribution level of systemic risk of insurance companies,this paper finds out that during the financial crisis in 2008 and the turbulence of stock market of China in 2015,the contribution of insurance companies to the systemic risk has increased significantly,which indicates that unsteady external economic environment will have a negative impact on the contribution of insurance companies to the systemic risk.Based on the above results,this paper explores the influencing factors of the contribution of insurance companies to the systemic risk through the panel regression of the annual data of insurance companies from 2007 to 2018.The empirical results are as follows:It is clear that asset size,non-core business and reinsurance business of insurance companies have a significant positive impact on the contribution of systemic risk;investment activities of insurance companies have no significant influence on the contribution of systemic risk,and the above results are basically consistent with the relevant literature;however,this paper finds out that the leverage of insurance companies will reduce the systemic risk contribution of insurers,so the reasons behind the results are discussed.Finally,based on the above analysis and research,this paper provides policy suggestions to prevent the systematic risk of the insurance industry in China.