关键词: 系统性风险, 风险度量, 尾部相关性, 股票收益率, Copula

Abstract: The 2007 subprime mortgage crisis has arouse wide concern about systemic risk measurement, However, the commonly used measures could not reflect the real-time system risk of financial industry well due to their limitations.
In this paper, an indicator of Conditional Probability of Crisis (CPC), which defines systemic risk as the probability of a systemic crisis given the crisis of a single financial institution, is proposed. It can be calculated by the lower tail dependence between stock returns of the financial institutions and the financial system. The efficient-markets hypothesis states that asset's prices fully reflects all valuable information. Firstly, based on the market model, the common part affected by the market factor is removed from the stock returns to derive the heterogeneous parts affected by the firm-specific factor. Then, the Clayton copula is used to estimate the lower tail dependencies between the stock returns of every financial institution and financial system. Lastly, the CPC value of the financial system is calculated by averaging all these tail dependencies. This value reflects the average probability that the crisis of a single financial institution will lead to the crisis of the entire financial system. On one hand, the proposed indicator embodies the connotation of systemic risk very clearly. On the other hand, it can be obtained timely and is comparable across different time points, which is thus useful for monitoring the real-time systemic risk.
In the empirical study, based on the data of 49 Chinese listed financial institutions, including banks, security companies and insurance companies, the systemic risk of the entire Chinese financial industry and its three sub-industries from January 2007 to June 2016 is obtained respectively. The empirical results show that:firstly, the systemic risk of Chinese financial industry has an obvious upward trend since June 2014, and nowadays it's even much higher than that during the subprime mortgage crisis. In addition, the security industry experiences a sustained increase in systemic risk during the sample period. At last, the banking industry always imposes the greatest impact on the systemic risk of the entire financial industry, while the impacts of the securities and the insurances have increased gradually during these years.
The proposed indicator, CPC, could be a competitive alternative measure for systemic risk and the empirical results on Chinese financial industry also provides valuable references to the following researches and the financial regulation in China.

Key words: systemic risk, risk measurement, tail dependence, stock return, copula