Systematic Risk Analysis of Listed Financial Institutions from the Perspective of Complex Network

Abstract

Based on the complex network theory, this paper studies the systemic financial risks in China’s financial market. According to the industry classification of the China Securities Regulatory Commission in 2012, the daily closing prices of 45 listed financial institutions are collected and the daily return rates of each financial institution are measured according to the logarithmic return rate calculation formula. In this paper, the risk spillover value ΔCoVaR is used to measure the contribution degree of each financial institution to systemic risk. Finally, the relationship between the risk spillover value ΔCoVaR and the node topology index of the risk transmission network is investigated by using a regression model, and some policy suggestions are put forward based on the regression results.