Research On The Network Correlation Of The Tail Risk Of Financial Institutions And Its Impact On Systemic Risk

As the degree of financial liberalization rises,the links between financial institutions are getting closer and closer,and the mutual transformation of tail risks caused by extreme events among financial institutions is more extensive and rapid.The contagion effect of the tail risks of various financial institutions on other financial institutions has formed a interconnected tail risk network between financial institutions,which has a conductive impact on the entire financial system and is prone to systemic risks.In order to prevent and control the systemic risks caused by the tail risk overflow of financial institutions,here we use a complex network method to study the relevance of internal financial institutions ’tail risk network from the perspective of relevance,and further explore the relevance of financial institutions’ tail risk networks The impact on systemic risks and corresponding suggestions are proposed to improve the macro and macro prudential regulatory framework,maintain the stability of the financial market,promote the healthy development of the financial system of developing countries,and promote economic growth.This article first summarizes and summarizes the research of different scholars on the definition,causes and measurement methods of systemic risk,the relevance of risk spillover networks,and the relevance of tail risk networks.At the same time,it analyzes the tail risk related theory and complex network theory.The analysis of network association measures is used to study the impact of financial institution tail risk network relevance on systemic risk from three aspects: risk sharing mechanism,risk contagion mechanism and the combination of the two.Then use the GARCH-Copula-ΔCoVaR method to construct a tail risk network matrix.Use complex network analysis to analyze the position of different financial institutions in the tail risk network from the node out degree,node in degree,and feature vector centrality.Coefficient and average path length to analyze the overall relevance of the tail risk network.Finally,using the correlation characteristics of the tail risk network as the core indicator,the panel data model is used to analyze the impact of the correlation characteristics of the tail risk network of financial institutions on systemic risk.Through research,it is found that,first,banks’ tail risks have a relatively large degree of external spillover,followed by insurance companies and securities companies;securities companies and banks have strong tail risk absorption capabilities,and insurance companies are weak;meanwhile,Chinese banks are systemically important financial institutions Securities companies are second,and insurance companies are less systematic.Secondly,the tail risk spillover affiliation network of China’s financial institutions has a "small world phenomenon" and time-varying characteristics.The tail risk spillover effects of financial institutions have become more apparent during the crisis period.Finally,the greater the external spillover of the tail risk of financial institutions,the smaller the systemic risk;the stronger the ability to absorb the tail risk of financial institutions,the greater the systemic risk;the more important the financial institution is in the system,the higher the systemic risk spillover value,and Financial institutions’ own operating capabilities and macro environment will also have an impact on systemic risks.Based on the above conclusions,this article puts forward suggestions for preventing financial market risks from the aspects of overall market system construction,financial institution individual supervision and governance,and financial institution disclosure of financial statements.