中国金融机构系统性金融风险研究

Research on Systemic Financial Risks of Chinese Financial Institutions

为了厘清金融机构间的风险传染效应,基于沪深上市77家金融机构的日度股票收益率构建分位数回归的CoVaR模型,度量金融机构系统性风险水平,采用网络拓扑分析法建立风险传染网络。研究结果表明,证券、银行、保险对系统性金融风险的影响较大,随着中国金融的不断发展,多元金融对系统性金融风险的贡献增加;规模越大的机构更容易成为风险来源;由于业务关联程度增加,中小规模金融机构在机构风险传染网络中的地位不容忽视。

Based on the daily stock return of 77 financial institutions listed in Shanghai and Shenzhen,CoVaR model of quantile regression was used to measure the systemic risk of financial institutions,which could clarify the risk contagion effect among financial institutions.Then the network topology analysis method was used to establish the risk contagion network.The results show that securities,banks and insurance have a great influence on systemic financial risk.The contribution of diversified finance to systemic financial risk increases with the continuous development of China's finance.Larger institutions are more likely to become a source of risk.Due to the increase of business relevance,the position of small and medium-sized financial institutions to systemic risk can not be ignored.