Analysis Of System Risk Of China's Listed Insurance Companies

In 40 years of China's opening up,the reform has entered a deep-water period,domestic production capacity has been oversupply,industrial structure has been upgraded,and it has climbed to the high end of the industry chain.After the subprime mortgage crisis,systemic risk-related issues began to arouse strong concern from governments and international academic communities.Judging from relevant research at home and abroad and government regulatory measures in various countries,most of the initiatives and research are conducted around the banking industry.The development of financial innovation and financial liberalization has greatly promoted the homogeneity of financial institutions,the overlapping of insurance institutions and banking institutions,and the increasing degree of capital correlation.Systematic risks spill over from the banking industry to the insurance industry.The increase in risk transmission channels in the financial system makes it even more vulnerable to more powerful risk shocks.Therefore,it is particularly important to measure the risk of the insurance industry system.This paper defines the meaning of systemic risk,then discusses the causes of systemic risk,then analyzes the main characteristics of systemic risk,and sorts out the theoretical knowledge of systemic risk.The empirical study of this paper uses the modified CoVaR model to perform quantile regression under different quantiles,selects quantile values that are more reflective of extreme risks,and establishes models.In the empirical stage,this paper uses the CoVaR method to measure the operating data of four listed insurance companies,China Life Insurance,Ping An Insurance,China Pacific Insurance,and Xinhua Insurance,which can reflect the market conditions of China's insurance industry.First,assume the quantiles and measure the changes in the systemic risk values and risk spillovers of the four companies under extreme conditions.It can be found that in the insurance industry,the VaR and the CoVaR values have the same trend.Through the calculation of the VaR value under extreme quantiles,it can be seen that when the crisis occurs,the yield rate of most insurance institutions is significantly related to the state variables.System-important institutions are ranked through risk overflow value.From the perspective of systemic risk contribution,the four companies can be called system-important insurance companies.In the end,this paper gives an effective quantification of the risk spillover intensity of listed insurance companies in China,and puts forward relevant policy recommendations for the macro-prudential supervision of China's insurance industry.