The Measurement Of Systemic Financial Risk In China And Analysis Of Its Influencing Factors

With the accelerated process of financial liberalization and globalization in China,the relationship between the financial system and the world financial system is becoming increasingly close,which has intensified the impact of external risk impact on our financial system.At the same time,because China is in the stage of economic transformation,there are structural and cyclical problems in the financial system.Under the dual internal and external factors,China's systemic financial risks continue to accumulate and gradually become prominent.In recent years,systemic financial risk has become one of the hot issues of national concern.Since 2014,Premier Li Keqiang has repeatedly stressed "firmly keeping the bottom line of systemic financial risk".In 2017,the central economic working conference proposed to "ensure no systemic financial risk".Based on the above background,this paper selects the relevant data of January 2008-2017 in September,based on the extreme value theory,and uses the risk value(Co VaR)method to build a dynamic GARCH model for measuring the systemic financial risk of China.Based on this,the systematic financial risk affecting China is analyzed by using the method of extreme quantile regression.The main factor of marginal contribution.The results of data analysis show that,first,the marginal contribution of the banking industry to systemic financial risks is higher than that of the securities,insurance and trust industries.The bank type financial institutions are the core object of our systematic financial risk prevention,especially the state-owned commercial banks and the joint-stock banks.Secondly,according to the 2017 data,China Merchants Bank is considered.The systemic financial risk contribution of Beijing bank,China peace,Pudong Development Bank and Ping An Bank is generally at a high level,which deserves the attention of the financial supervision department.Thirdly,in extreme cases,the market risk,financial leverage and yield of financial institutions and their marginal contribution to systemic financial risk.There is a significant negative correlation,and the size of the financial institutions' own assets has a significant positive effect on it.In addition,the better the systemic risk contribution of the better financial institutions in the macro-economic environment is smaller,and through the model comparison,it is found that the influence of the above five factors on the marginal contribution of systemic financial risk is increasing with ? 0.