Research On Systemic Risk Of My Country's Financial Network

The 2008 global financial crisis brought about many serious consequences,such as the economic recession,rising unemployment and deteriorating trade conditions.The chain reactions between agencies penetrated the entire financial system and hit the real economy.Financial systemic risk has become the focus of the participants of the financial system,the regulators of the financial system,the academic world,and the government agencies.All of them have begun to deepen the understanding of systemic risk,re-examine the previous regulatory programs and explore the new policy of financial system to prevent systemic risk.However,accurate assessment and measurement of financial systemic risk is the basis for the implementation of regulation,and any regulatory measures come from the evaluation data.In this context,based on the domestic and foreign research results,this article discusses the definition of systemic risk and its characteristics.It also systematically analyses the definition of SIFIs and how to evaluate the SIFIs.And then,from a number of angles studies the formation of financial system risk mechanism,theoretically studies infectious channels of the systemic risk Then,the method of measuring the systemic risk of financial system is analyzed in detail.By comparing the characteristics of each method and the concrete measurement method,the advantages and disadvantages of each method and the shortcomings are pointed out.This paper chooses the stock returns of listed financial institutions in China in the last three years as the basic data.The relationship between financial institutions is analyzed by correlation coefficient and random matrix denoising method.Then,Var model and Granger causality test model are used to determine the direction of infection between financial institutions,and finally a financial risk contagion network is built.In order to be more intuitive,this paper uses mapping tools to visualize the contagion path of financial systemic risk.At last,based on the complex network model,The speed?depth?range and risk accumulation degree of each financial institutions are measure by using the index such asnode degree,contagion rounds,k-core decomposition value,and leader rank value.The results show that China's financial system risk contagion network presents complexity,relevance,multi-level and other characteristics,that non-bank financial institutions are increasingly playing a pivotal role in risk accumulation and risk of infection,that the size of institutions and the risk of infectious ability are not completely linear correlation and that institutional relevance and negative spillover is also an important factor in triggering systemic risk.Finally,new solutions and new regulating measures are proposed.