Analysis Of The Network Infection Mechanism Of Financial System Risk Based On R-Vine Copula Structure

Financial systemic risk refers to the collapse of an institution or market in the financial market,which can have a serious negative impact on the entire financial system and the real economy,or even trigger a systemic financial crisis,leading to major consequences such as a worldwide recession and rising unemployment.With the further close connection between China’s financial and real markets and the increased emphasis on financial systemic risk,this paper measures the financial systemic risk of individual institutions based on the SRISK method and the ?Co Va R method,respectively,from the perspectives of capital shortage and risk spillover levels expected to occur in the event of a systemic event,and captures the risk dependence structure using the R-Vine Copula structure to generate a complex network between institutions.In the empirical analysis,this research selects degree centrality,mediator centrality,tight centrality,and eigenvector centrality of the complex network structure as independent variables,uses ?Co Va R of each institution as the dependent variable to explore the direct influence mechanism of the complex network structure on financial systemic risk,and introduces SRISK as the core explanatory variable,uses the network structure as the environment variable to classify different zone systems,and uses both cross-multiplication terms to portray possible multiple zone-based transfer mechanisms.The main findings of this research are as follows: first,when the degree centrality of an institution increases,the reduction of its "distance" from other institutions increases its own financial systemic risk spillover level.Second,when the mediator centrality of an individual institution increases,the more it acts as a "bridge".Third,the eigenvector centrality has the two-zone risk effect of "robustness and vulnerability" and shows an inverted U-shaped relationship with the financial systemic risk.Fourth,by introducing the SRISK and network structure cross-products,we find that the degree centrality,mesoscopic centrality and eigenvector centrality have the risk mechanism of two-zone system transfer.Finally,the research proposes recommendations for penetrating regulation and insolvency relief from the perspective of institutional positioning in relation to the "robustness and fragility" of complex network systems and the realities of the objective environment.