Research On Systematic Risk Measurement Of China's Financial Institutions

The U.S.subprime mortgage crisis in 2007 had a serious impact on the world economy,under the background of the economic ties among countries in the world increase,the outbreak of one country's financial crisis may have adverse effects on the economies of other countries.The systematic risk of financial institutions has attracted attention of relevant departments and academic researchers in various countries because of its strong destructiveness and contagiousness.The measurement of systematic risk and the research on the identification of systemically important institutions has become a frontier and core issue in the field of financial risk management,and for the healthy and stable development of the economy,strengthening financial supervision,preventing systematic risks and ensuring the stability of the financial system are particularly important.At present,China is in a period of rapid development,a main factor that determines the economic development is the stability of the financial market.Firstly,this paper combs the relevant literature on financial systematic risk from the aspects of its connotation,formation mechanism and measurement methods.Then,after comparing different systematic risk measurement methods,this paper selects CoVaR model based on Quantile Regression to carry out the systematic risk measurement of 40 financial institutions listed before 2008 in China,and obtains the following conclusions through the analysis: CoVaR method based on quantile regression can better capture the contribution level of systemic risk of financial institutions;the financial system is most sensitive to changes in banking risks,followed by insurance,securities and other financial institutions,and large financial institutions have a stronger ability to resist systematic risk than smaller institutions.From the perspective of risk spillover value,the risk level of financial institutions is not equivalent to their risk spillovers,and the impact on the financial system will be greater when the larger financial institutions have a crisis;and then we analyze the mechanisms and the instruments of macro-prudential supervision And put forward reasonable suggestions,which is of great significance to ensuring the safe operation of the financial system and the stability of the development of national economy.