A Study On The Systemic Risk Of China's Financial Industry Based On CoVaR

In 2008,the international financial crisis spread widely and affected deeply,and the financial industry of various countries suffered huge losses.Since then,systemic risk has become the focus of academic research.Scholars believe that traditional microprudential regulation cannot prevent systemic risk because it only focuses on and monitors the risks of a single institution.People began to strengthen macro-prudential regulation as the goal,gradually replace the traditional regulatory system,from the perspective of the financial system as a whole to assess and measure systemic risk.Although the systemic risk has not happened in our country,but with the opening up of the financial market and interest rate marketization,systemic risk should be financial regulators and the focus of the scholars study object,but the current domestic existing literature focused on the individual financial institutions or financial sector for overflow the research of risk in the financial system,and the risk of the entire financial industry internal overflow are rarely studied.On the basis of domestic and foreign systematic risk studies,this paper studies the twoway risk spillover between institutions and industries by using the static CoVaR model and dynamic CoVaR model based on quantile regression analysis method and daily return data of 36 listed financial institutions,the whole financial industry and its sub-industries from2016 to 2020 in China.The results show that :(1)The financial return rate series all have the characteristics of sharp peaks and thick tails,presenting a stable non-normal distribution,which is not suitable for the analysis with the traditional regression method;(2)For financial institutions,the largest assets listed financial institutions to the financial system the risk of overflow risk factor ? and overflow ?CoVaR is larger,and their conditional value at risk CoVaR smaller,suggesting that the largest assets institutional risk of overflow on the outside is bigger,but against outside overflow risk ability better than assets smaller listed financial institutions;(3)For a single research object,Va R value of unconditional at risk is less than CoVaR value of conditional at risk,because CoVaR not only includes its own risk,but also considers risk overflow,indicating that the traditional risk measurement method Va R underestimates risk to some extent.(4)For the financial industry,the two-way relative risk spillover effect between the financial system and the banking industry is greater than that between other industries and the financial system,because the asset scale of the financial system and the banking industry is much larger than that of other financial sub-industries;(5)For static and dynamic models,by comparing unconditional Va R,conditional CoVaR and risk spillover ?CoVaR,both financial institutions and the financial industry,the risk value of the dynamic model is less than that of the static model,indicating that the risk may be overestimated to some extent when the risk variability is not considered.Finally,based on the results of empirical research,this paper puts forward reasonable Suggestions on preventing systemic risks and macro-prudential regulation in China.