系统管理学报2025，Vol.34Issue(5)：1383-1400,18.DOI:10.3969/j.issn2097-4558.2025.05.015
中国上市金融机构系统性风险动态测度与风险溢出效应
Dynamic Measurement of Systemic Risk and Spillover Effect of Chinese Listed Financial Institutions:Based on Tail Event-Driven Analysis Perspective
摘要
Abstract
Based on the tail event-driven perspective,this paper,employing the daily data of 38 listed financial institutions in China from 2008 to 2021,dynamically measures the systemic risk of Chinese financial institutions using CoES,and evaluates risk spillover of systemic risk of financial institutions based on the TENQR model.The results show that the systemic risk spillover among financial institutions is asymmetrical,with the banking sector as the main risk spillover and the securities sector as the main risk recipient.Systemic financial risks exhibit cyclical fluctuations,and external shocks can significantly increase the systemic risk levels of financial institutions.Financial institutions with relatively smaller asset but strong ties with other nodes may also become systemically important financial institutions.关键词
系统性金融风险/溢出效应/TENQR模型Key words
systemic financial risk/spillover effect/TENQR model分类
管理科学引用本文复制引用
LIU Wei,ZHAO Ying,LIU Xiaoxing..中国上市金融机构系统性风险动态测度与风险溢出效应[J].系统管理学报,2025,34(5):1383-1400,18.基金项目
国家自然科学基金资助项目(71972099) （71972099）
国家留学基金委资助项目(202106230168) （202106230168）
