系统管理学报

系统管理学报 ›› 2025, Vol. 34 ›› Issue (5): 1383-1400.DOI: 10.3969/j.issn.2097-4558.2025.05.015

• 数字经济与金融工程 • 上一篇    下一篇

中国上市金融机构系统性风险动态测度与风险溢出效应——基于尾部事件驱动的视角

刘伟，赵 盈，刘晓星   

  1. 东南大学 经济管理学院，南京 211196
  • 收稿日期:2024-06-22 修回日期:2024-12-03 出版日期:2025-09-28 发布日期:2025-10-16
  • 基金资助:
    国家重点研发计划资助项目（2021QY2100）；国家自然科学基金面上项目（72173018）；国家社会科学基金一般项目（23BJY221）；江苏省社科基金资助项目（23ZXZB046）；江苏高校哲学社会科学研究重大项目（2022SJZD004）

Dynamic Measurement of Systemic Risk and Spillover Effect of Chinese Listed Financial Institutions: Based on Tail Event-Driven Analysis Perspective

LIU Wei, ZHAO Ying, LIU Xiaoxing   

  1. School of Economics and Management, Southeast University, Nanjing 210096, China
  • Received:2024-06-22 Revised:2024-12-03 Online:2025-09-28 Published:2025-10-16

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摘要： 基于尾部事件驱动视角，以2008~2021年中国38家上市金融机构为研究样本，采用CoES指标系统测度金融机构系统性风险水平及其动态演变，并基于TENQR模型刻画金融机构间风险溢出效应，进而识别系统重要性金融机构。研究表明，金融机构间的系统性风险溢出呈现非对称性特征，银行业为风险主要溢出者，证券业则为风险接受者；系统性金融风险呈周期性波动，外部冲击会显著推高金融机构系统性风险水平；资产规模较小但与其他节点关联紧密的金融机构也可能成为系统重要性金融机构。

关键词: 系统性金融风险, 溢出效应, TENQR模型

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.

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