An in-depth introduction in this issueSystematic risk measurement data of financial institutions
Abstract of Prof. Wang Jian (2023): This paper takes 45 listed financial institutions in China as a sample, uses 12 asymmetric and 4 symmetric Copula models to fit the "system-institution" binary dependence structure, compares the estimation accuracy based on optimal asymmetric and optimal symmetric Copula-generalized COVAR, and analyzes the important factors affecting the systemic risk of financial institutions from the macro-financial and micro-institutional levels. The results show that time-varying asymmetric tail dependence is a common feature of "system-mechanism" dependence. The systemic risk ranking of various sub-sectors of China's financial industry is basically "banking", "insurance", "diversified finance"; The correlation between individual risk and systemic risk of financial institutions is weak, and the dependence is the key factor to identify systemically important financial institutions. During the crisis, the leverage ratio of financial institutions has a significant positive impact on individual risk and systemic risk. Stabilizing and improving the macro-financial environment is a fundamental measure to defuse systemic risks.
Systematic risk measurement of financial institutions, including COVAR, DCCOVAR, quantile COVAR, MES and other four systemic extreme risk indicators (as shown in the figure below). It can well describe the degree of financial crisis and stock market crash risk of financial institutions.
List of financial institutions.
Industrial and Commercial Bank of China, China Everbright Bank, Agricultural Bank of China, China Construction Bank, Bank of Beijing, Bank of Nanjing, Bank of Ningbo, Bank of Communications, China CITIC Bank, Industrial Bank, Bank of China, Huaxia Bank, China Merchants Bank, Minsheng Bank, Shanghai Pudong Development Bank, Ping An Bank, Shanxi**, Guoyuan**, Guangfa**, Jinlong, Northeast**, Haitong**, State Investment Capital, CITIC**, Southwest**, Guojin**, Yangtze River**, Guohai**, Industrial **, Huatai**, China Merchants**, Everbright**, Dongxing** , Shenwan Hongyuan, Guoxin**, Xixi**, Dongwu**, Fangzheng**, Guotai Junan, Dongfang**, Pacific, China Taibao, Chinese Life, Ping An of China, Xinhua Insurance, etc.
Data preview in this issue.
Note:It can be obtained by joining the data member database(At the same time, it can also ** more massive high-quality data) financial institutions