A Research On The Measurement And Sustainability Of Systemic Risk Based On CoSP Model

At present,many classical systemic risk measurement models are based on the contemporaneous impact of the company on the system,ignoring the lagged effect of the risk contagion process.From the real situation of the securities market,this kind of method is challenged.In 2015,the Chinese stock market fluctuated abnormally and the phenomenon of "1,000 shares up limit or 1,000 shares down limit" appeared for many times.In 2016,the circuit breaker mechanism was triggered twice,which fully reflects the harmfulness and infectivity of systemic risks.Many scholars try to explore the real state of risk contagion and measure the size of systemic risk as accurately as possible,which is also the focus of this thesis.The frequent occurrence of financial crises has constantly updated the definition of systemic risk.FSB,IMF and BIS(2009)defined it as the risk that a large number of financial institutions would be paralyzed and the real economy would be brought into crisis when some financial sectors or the whole were at extreme risks in their reports to the G20.The measurement method of systemic risk is the focus of scholars' research,which is mainly considered from two aspects: on the one hand,from a macro perspective,the selection of appropriate indicators to build a comprehensive Index to reflect the system pressure,such as Cleveland Financial Stress Index(CFSI)proposed by Oet et al.(2011);On the other hand,the model method based on the micro level,such as Adrian et al.(2010),analyzed the risk spillover effect between financial institutions and proposed the model.None of the above methods considers the lag effect of risk spillovers.As for how to integrate the time-lag of risk contagion into the model to completely measure the systemic risk,there is no conclusion in the academic circle,which needs to be further studied.In this thesis,we considers the risk of spillover risk under different lag days,and describes the contribution of institutions to systemic risk from the perspective of risk size and duration based on the CoSP model.Finally,regression analysis is used to find the factors affecting risk indicators.We selects the daily return data of the CSI 300 index from January 2008 to September 2018 were analyzed,and the CoSP of rolling calculation was conducted for six industry indexes.With the average excess CoSP and spillover duration systemic risk and its contribution to the duration of a single company,through depicting the representative company in the two samples before and after the crisis period Fitted CoSP changes,verify the existence of systemic risk contagion significant hysteresis effect.Then the full sample companies were ranked according to the risk indicators in this thesis to analyze the risk spillover differences,and the changes of the four risk indicators over time were compared.Then the vulnerability of financial and non-financial systems was measured by the changes of the number of systemically important companies in various industries over time.Finally,panel regression was used to study the influence factors of corporate systemic risk contribution and its duration.In this thesis,the following conclusions are mainly drawn :(1)The contagion process of systemic risk in China generally has hysteresis effect.The average excess CoSP and spillover duration of the risk indicators considering the hysteresis effect can accurately measure the risk.(2)In different periods,the risk contribution of heterogeneous companies is different and and different industries have different risk exposures.In normal times,Banks pose a great systemic risk and bear a great impact on themselves.In the period of stock market disaster,insurance companies' contribution to systemic risk is relatively large,and non-financial industries are more vulnerable.(3)In normal times,the spillover duration of Banks is the longest,and the impact on the banking sector lasts the longest;In the period of stock market disaster,the spillover duration of insurance companies is the longest,while that of non-financial sectors is the longest.(4)Macroprudential policies should take into account both the size and duration of spillovers,as well as the heterogeneity of company categories and system categories.(5)The size of the company has a significant impact on the contribution and duration of systemic risk,which regulators attach importance to.This thesis is innovative in the following aspects :(1)Most previous studies focused on the contemporaneity impact of financial institutions on systemic risk,ignoring the lag effect in the risk transmission process.This thesis took this lag effect into account,and conducted modeling analysis based on multiple dimensions,and the conclusion was more objective.(2)The traditional systematic risk measurement indicators tend to take the banking industry or the entire financial industry as the research object.This thesis integrates financial enterprises and non-financial enterprises into an overall framework,which makes the analysis conclusions more meaningful.(3)Previous studies often only analyzed the risk contribution of the company to the system without considering the duration of such impact.This thesis describes the size and duration of systemic risk from the two dimensions of average excess CoSP and spillover duration,which is a good attempt for practical application.Due to the limitations of knowledge,ability and time,this thesis still has some shortcomings :(1)The yield data of about ten years was only considered in the modeling,and more data samples or real-time update of the data should be considered when the actual situation is applied.(2)The paper can take the risk contagion between different industries into consideration and draw more reasonable conclusions.