金融机构尾部风险溢出效应——基于改进非对称CoVaR模型的研究

Tail Risk Spillover of Financial Institutions——A Study Based on Improved Asymmetric CoVaR Model

为准确度量我国金融机构对金融系统的尾部风险溢出,本文改进了基于CoVaR方法的分位数回归模型。基于极值理论和ARMA-GARCH模型拟合收益率边缘分布,构建了改进的非对称CoVaR模型,从系统性金融风险贡献绝对值(△CoVaR)和相对值(%CoVaR)两方面详细考察了2002年7月1日至2018年12月28日我国42家上市金融机构的尾部风险溢出效应。结果表明:在q=0.01的情况下,不同类型金融机构对金融市场的系统性金融风险贡献有显著差异,银行类与保险类机构的系统性金融风险值得重点关注;金融机构的系统性金融风险贡献相对值与在险价值存在显著联系,自身风险最低的银行类机构具有最大的风险溢出强度,是我国系统性金融风险防范的核心对象,尤其是国有控股银行。研究结论对于有效防范我国系统性金融风险具有重要的理论价值和现实意义。

In order to measure the tail risk spillover of financial institutions to the financial system in China,this paper improves the quantile regression model based on Co VaR approach.Based on the EVT and ARMA-GARCH model to fit the edge distribution of returns,an improved asymmetric Co VaR model is constructed.The tail risk spillover effect of 42 listed financial institutions in China from July 1,2002 to December 28,2018 is investigated in detail from the absolute value(△Co VaR)and relative value(%Co VaR)of systemic risk contribution.The results are as follows.First,under the condition of q=0.01,the contribution of different types of financial institutions to the systemic risk of financial market is significantly different,and the systemic risk of banks and insurance institutions deserves special attention.Second,the relative value of the systemic risk contribution of financial institutions is significantly related to the value at risk.Finally,banks with the lowest risk have the largest risk spillover intensity,and are the core object of systemic risk prevention in China,especially the state-owned banks.The conclusion is of great theoretical value and practical significance for the prevention of systemic financial risk in China.