Research Of The Financial Systemic Risk Based On Systemic Expected Shortfall Method

In 2007,due to the accumulation of problems such as the subprime mortgage risk,the subprime mortgage crisis broke out in the United States,which made a great impact on the financial market and the real economy of the US.As the crisis spread out,it has left seriously bad influence on the economic trade of other countries,leading to a global financial crisis in the end.Therefore,after the subprime mortgage crisis,governments and scholars has paid more focus on financial systemic risks,and studied early warning mechanisms and precautionary measures.As far as China's financial sector risk supervision is concerned,the 19 th Party Congress in 2017 pointed out that the relevant regulatory agencies must recognize their duties,the relevant legal departments should improve the financial supervision system,so as to firmly adhere to the bottom line of preventing financial systemic risks.Since then,China has paid more and more attention to financial systematic risks.Taking the US subprime mortgage crisis as the entry point,this paper takes the prevention and measurement of systemic risk as the research object under the condition of financial crisis,and deeply analyzes the infective characteristics and current situation of China's financial systemic risk.Based on the Systemic Expected Shortfall Method SES,this paper empirically analyzes marginal contribution to the financial systemic risk of 24 financial institutions,and makes robust tests on the relevant variables.The empirical results find that: the ROA of the financial institutions,the leverage ratio LVG and the marginal contribution to the market system risk MES of the financial institutions before the market financial crisis,have correlations with the actual systemic expected losses of these institutions when the crisis really occurs.Through the comparison of the empirical results,the paper also finds that,the correlations and their significance can be significantly different in different crisis.In summary,the financial institutions with lower ROA,higher LVG and greater marginal contribution to the market systematic risk before the crisis,will have higher SES and greater marginal contribution when the market financial crisis really occurs.In addition,this paper conducts two robustness tests for the two crises.One is picking explanatory variable MES in different sample intervals,and the other is picking explained variable SES in different sample intervals.Also,this paper analyzes the time series of MES before and after the crisis,studies its dynamic changes and trends,and proposes relevant policy recommendations for preventing financial systemic risks based on this analysis.The conclusion indicates that,establishing targeted supervision mechanism according to the different marginal contribution of financial institutions can improve the capabilities to prevent financial risks for financial institutions,as well as monitor and prevent overall financial systemic risks in the country for the government.In this case,the abilities of the financial sector to serve the real economy has also been improved,promoting the high-quality development of both financial and the non-financial sectors,so as to better realize the goal of sustainable,healthy and stable development of Chinese economy.