Research On Systemic Risk Of China's Financial Industry

The outbreak of the global financial crisis in 2008 has posed a major challenge to the regulatory system of countries around the world.Since then,experts and scholars in various countries have strengthened the research on systemic risk and achieved some research results.At present,China is in a new stage of economic transformation and slowing growth.In order to better meet its own development needs,financial institutions have become increasingly frequent in various financial businesses.Very close correlation provides a natural channel for the spread of systemic risk.Therefore,it is of great significance to analyze the contribution of systemic risk of financial institutions and three major industries of financial system to reduce the risk accumulation of the whole financial system and prevent the outbreak of financial crisis.This article uses statistical methods to study from two levels.The first level is to study a single listed financial institution:firstly,we use the GARCH-VaR model to calculate the risk value of a single financial institution.Secondly,we establish QR-CoVaR model to measure the risk contribution of China's listed financial institutions to the financial system.Finally,we use the risk multiplier expansion index to measure the times of the simultaneous bankruptcy probability of other financial institutions when a single financial institution is bankrupt.The second level is to study the three major industries of banking,insurance and securities:firstly,the GARCH-VaR model is used to calculate the value-at-risk of the three major industries.Secondly,we used the DCC-GARCH model to measure the risk spillover effects of the three major industries on the financial system.Finally,the risk multiplier expansion index is applied to the systematic risk research of the three major industries.In the empirical research,at the first level,we selected 45 financial institutions listed before January 1,2015 as a sample for measurement.The results show that:firstly,the risk value of financial institutions from small to large is in order from banking,insurance,securities and other industry financial institutions,indicating that the risk level of financial institutions has a certain correlation with scale.That is to say,the larger the financial institution,the lower the risk value and the stronger the ability to resist risks.Secondly,some of the smaller financial institutions rank higher than the larger ones in risk spillover effect,indicating that Co VaR is conducive to analyzing the risk situation of listed financial institutions with large differences in industry status and their own asset size.Finally,from the perspective of the risk multiplier expansion index,in terms of the performance of large financial institutions,within the same industry large-scale financial institutions have multiple-added value greater than small-scale financial institutions.The second level selects the index of banks,securities and insurance from 2010 to 2019 as samples for research.The results show that:firstly,the absolute value of VaR is generally from small to large in order of banking,insurance,and securities,indicating that the banking industry's own risk value is the smallest,while the securities industry's own risk value is the largest.Secondly,from the perspective of CoVaR and risk multiplier expansion index,the risk spillover effect is from the largest to the smallest in the securities,insurance and banking industries,and the two indicators are consistent in terms of results.Finally,for the problems found in the empirical analysis,this article gives specific measures to prevent systemic risks.