Measurement Of Systemic Financial Risk In China

The 2008 world financial crisis not only inflicted a heavy blow on the global economy,but also highlighted the urgency and importance of prudential supervision and effective prevention and control of systemic financial risks.In recent years,with the continuous acceleration of economic globalization,integration and financial liberalization,as well as the gradual transformation of economic structure and the increasingly complex external financial environment,China’s financial security is also facing huge challenges.The rise of various financial derivatives and other innovative instruments and the emergence of shadow banking have put forward higher requirements for China’s financial supervision.Therefore,the Chinese government and relevant financial supervision departments attach great importance to financial supervision.Since 2014,Premier Li Keqiang has repeatedly stressed the need to "firmly guard against systemic financial risks".At the 19 th National Congress of the Communist Party of China(CPC),General Secretary Xi Jinping once again made it clear that China will "resolutely guard against systemic financial risks".Moreover,since the novel Coronavirus outbreak this year,the stock market has experienced frequent turmoil and even plunge.In particular,the U.S.stock market has experienced frequent circuit breakers within a short period of time,which fully demonstrates the power of systemic risk.Based on the above background,as the quantile regression-delta CoVaR model,and based on 0.01 and 0.05 two extreme quantile,to join the market volatility,interest rates,and market return,liquidity spreads,term spreads and credit spreads six state variables to a more accurate measurement of nearly 10 years,our country financial market risk index of the institutions.The study finds that under extreme conditions,no matter at 0.01 or 0.05 quantile,diversified financial institutions have the highest risk,followed by securities and insurance institutions,while Banks have the lowest risk,that is,Banks are the most stable compared with other financial institutions.For the risk spillover effect CoVaR,the more extreme the condition is,the stronger the risk spillover effect of Banks is,but the smaller the risk spillover effect of insurance companies is.In addition,as for systemic financial risk contribution delta CoVaR,under the condition of 0.05 quantile,risk is the largest contribution to the insurance agencies,followed by Banks and securities,multivariate financial contribution of systemic financial risk is minimal,for the quantile extreme conditions for 0.01,systemic financial risk is the largest contribution to the bank,the second is the insurance and securities,multiple systemic risk of financial contribution is still minimal.And measured under the conditions of different quantile indicators of risk,whether it is a value at risk VaR,or conditional value at risk as CoVaR,systemic risk contribution delta CoVaR,in its extreme quantile 0.01 under the condition of risk indicators are far less than in 0.05 under the condition of quantile risk indicators,namely when the financial institutions in the extreme,is its spillover effects,the greater the risk the greater the likelihood of systemic risk.Finally,based on the measurement results of this paper,the Chinese government and relevant regulatory authorities are proposed to refine the risk supervision system,establish a risk early warning mechanism,improve the risk measurement system,improve the risk control function and enhance the antirisk ability of financial institutions.