Research On The Tail Risk Measurement And Inter-Departmental Risk Correlation Effect Of Financial Institutions

With the rapid development of China's economy,the scale of the financial industry has also risen rapidly,and the relationship between different types of financial institutions has become closer,making financial risks very easy to spread quickly in different markets and different industries,which has a major impact on the stability of the financial system.When the financial market is in an extreme situation,a single asset and the market often have a large phenomenon of the same rise and fall.Although the probability of extreme tail risk is small,it has the characteristics of fast propagation,large amplitude and wide range.Financial risks will not only cause huge negative externalities to the real economy,but will also spread to the entire financial system through close business exchanges between industries,thereby triggering systemic risks.Therefore,from the perspective of tail risk based on extreme value theory,this paper constructs tail risk index ES and tail systemic risk measurement index()to study the risks of some listed financial institutions in my country.First,apply univariate and multivariate extreme value theory(ETV)to the tail of financial institutions' asset returns,estimate the expected loss(ES)and the probability of individual financial institutions fluctuating abnormally with the market in extreme situations();second,Explore the tail systemic risk heterogeneity of the four departments from the perspective of static and dynamic;third,on this basis,analyze the effect of tail risk correlation between departments,and use rolling estimates to explore the dynamics of risk correlation between departments;and finally At present,a comparative analysis of several types of systemic risk measurement indicators widely recognized at home and abroad verify their effectiveness and early warning effect.Studies have shown that:(1)Under the impact of extreme events,financial institutions will generate huge tail risks.During the crisis,tail risks(ES)of all industries have increased significantly,and the characteristics of thick tails are significant.Among them,the insurance and securities sectors have shown more Strong tail risk.(2)According to the estimated systemic risk of the tail(),the bank as a whole has a certain stability when responding to the impact of extreme events,and has a strong ability to resist risks.However,due to the large organizational structure of the banking system and its many types,some banks still show a high sensitivity to shocks.Among them,urban commercial banks have a higher increase in system risk indicators before and during the crisis,and have the weakest ability to deal with risks.(3)Under extreme circumstances,the securities sector is more susceptible to macroeconomic adverse impacts such as abnormal fluctuations in the stock market.It exhibits stronger vulnerabilities than other industries,and there are more obvious hidden risks of financial risks,which are the most important of systemic financial risks.source.(4)Inter-sectoral risk correlations have increased significantly with the occurrence of extreme financial events,and there is asymmetry;the securities sector has a high impact on the tail risks of other industries and is the main source of risk contagion;the banking and insurance sectors have the deepest industry correlations;The real estate sector has also become a major exporter of financial system risks during the crisis.(5)Among various departments,institutions such as Bank of Nanjing,Bank of Ningbo,China Merchants Securities,China Everbright Securities,GF Securities,China Ping An,Financial Street,Poly Group,Youngor,etc.are highly associated with other industries and are extremely vulnerable to extreme abnormal fluctuations in other industries Shocked and in trouble,it is worth focusing on.(6)Compared with ES,MES,and indicators,it has a better early warning effect in the securities,insurance,and real estate sectors.This article enriches the relevant literature on the research of systemic risks of financial institutions at the micro level,and provides some policy recommendations for maintaining market stability when extreme events occur.The chapters of this article are arranged as follows: Chapter 1 is an introduction,introducing the background and significance of the selected topic;Chapter 2 is the construction and estimation of tail risks and tail systemic risks;Chapter 3 is the analysis of the tail system risk heterogeneity of financial institutions in China;The fourth chapter is the research on the inter-industry tail-risk correlation effect;the final part is the conclusion and policy recommendations.