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.

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