【摘要】 本文采用基于极值理论的尾部系统风险测度指标(Tail-β),从静态、动态两个角度研究不同类型金融机构尾部系统风险异质性,并分析行业间尾部风险关联效应。研究表明:(1)银行体系中,城商行对于不利冲击反应较为敏感,应对风险能力明显不足。(2)证券部门在极端情形下表现出更强的脆弱性,存在明显的金融风险隐患。(3)部门间尾部风险关联程度随极端金融事件的发生显著上升;其中,银行和保险部门风险关联最强,证券部门与其他部门具有普遍的风险关联效应。(4)房地产部门在股市动荡时期也是金融风险的主要输出者。更多还原

【Abstract】 This paper uses the tail systemic risk measurement index(Tail-β) based on extreme value theory to explore the tail systemic risk heterogeneity of different types of financial institutions, from both static and dynamic perspective, and also analyzes the correlation of cross-section tail risks. The results shows that:(1) urban commercial banks are more sensitive to adverse shocks and have insufficient ability to deal with risks;(2) under extreme circumstances, the securities sector is more vulnerable and has obvious financial risks;(3) the correlation degree of tail risk between sectors increases significantly with the occurrence of extreme financial eventsspecificaaly, the banking and insurance sectors have the strongest risk correlation, and there is a general risk correlation effect between the securities sector and other sectors;(4) the real estate sector is also the main exporter of financial risk in the period of stock market turbulence.更多还原