关键词: 系统性金融风险, VaR, CoVaR, 风险溢出

Abstract: 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 CoVaR approach. Based on the EVT and ARMA-GARCH model to fit the edge distribution of returns, an improved asymmetric CoVaR model is constructed. The tail risk spillover effect of 42 listed financial institutions in China from July 1,2002 to December28, 2018 is investigated in detail from the absolute value (△CoVaR) and relative value (%CoVaR) 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.

Key words: Systemic Financial Risk, VaR, CoVaR, Risk Spillover