基于CoVaR动态模型的我国金融机构系统性风险分析

Analysis on Chinese Financial Institutions’ Systemic Risk Based on CoVaR Dynamic Model

文章利用CoVaR动态模型对我国35家上市金融机构的系统性风险贡献进行动态估计及分析,揭示了金融机构特征因素对其未来系统性风险贡献的影响。实证结果发现,银行业金融机构的系统性风险贡献最大,证券业金融机构的贡献最小;系统性风险贡献越大的金融机构,其风险贡献的波动也越大;金融机构的规模越大,其未来的系统性风险贡献越小;金融机构的在险价值越大、杠杆率越高、股票收益的波动越大,其未来的系统性风险贡献越大。

This paper uses the CoVaR dynamic model to dynamically estimate and analyze the systemic risk contribution of 35 listed financial institutions in China,and reveals the impact of financial institutions＇ characteristic factors on their future systemic risk contribution. The empirical findings are as follows： banks have the largest systemic risk contribution, and security companies the smallest; The greater the contribution of systemic risk, the greater the volatility of the contribution; the larger the size of a financial institution, the smaller its contribution to systemic risk in the future; the greater the risk value of financial institutions,the higher the leverage ratio and the volatility of stock returns, the greater the contribution of systemic risk in the future.