Abstract:
This paper applies VaR, MES, CoVaR and ΔCoVaR indicators to measure the financial systemic risk contribution of the 56 major financial institutions and real estate companies in China's A-share market.Combined with the latest development of network topology analysis methods, we examine the contagious of risk in both aspects of dynamic and static.The analysis results show that the four indexes can effectively identify the time points of tail-risk accumulations in China's financial sectors and there exists a significant contagion effect on the risk spillover of China's financial system.Simultaneously, the paper finds that China's systemic risk spillover index is increasing gradually, and the contagion center has changed in the events of “Bank Money Shortage” and “Circuit-breaker Mechanism”.In the “ Bank Money Shortage ”, the banking sector has become the source of risk contagion; and in the “ Circuit-breaker Mechanism ”, real estate and security have become the network center of risk contagion.On this basis, this paper puts forward several suggestions for improving China's financial risk prevention system and supervision mechanism, which makes this paper has academic value and practical significance on preventing cross-market, cross-product and cross-sector risk contagion.
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