金融业系统性风险度量——基于尾部依赖视角

根据系统性风险定义，从时间和空间两个维度出发，利用尾部依赖来对系统性风险进行度量. 实证分析结果表明，银行业、证券业以及保险业存在系统性风险，且银行业、证券业以及保险业系统性风险呈现出了共性：经济下行时期系统性风险大于经济上行时期系统性风险. 进一步，本文分别对银行业、证券业以及保险业系统性风险存在的原因展开分析，并从系统流动性、杠杆率和公允价值计量对经济下行系统性风险增强提供了解释，认为流动性风险传导是引发系统性风险的重要原因. 基于此，对金融业体系建立动态拨备制度提供了佐证.

Systemic risk measure in financial sectors from the perspective of tail dependence

According to definition of systemic risk, the tail dependence is used to measure systemic risk from the dimensions of time and space. From empirical analysis, we found that systemic risk exists in banking, securities and insurance industries, as well as, the systemic risk is increasing during the economy is declining. The reasons of the exist of systemic risk in banking, securities and insurance industries were put out. From the perspective of liquidity commonality, and pro-cyclicality of leverage and fair value measurement, the reason of systemic risk enhanced during the decline may come from liquidity risk contagion. Based on this, it also support to establish dynamic provisioning system.