关键词: 尾部风险网络, 条件在险价值, 系统性风险贡献, 风险传染, 网络拓扑结构

Abstract: The tail risk network of financial institutions including its correlation mode and structures plays an important role in the formation and evolution of financial systemic risk. This paper measures the tail risk contagion among financial institutions by using CoVaR(conditional value-at-risk)and quantile regression method, and then constructs dynamic tail risk networks of financial institutions. We analyze the topology structures and their evolution rules of fully connected and filtered tail risk networks. At last, we investigate the effects of network topology structures on the financial institutions' systemic risk contribution. The empirical study show that the node strength can well demonstrate the tail risk contagion and tolerance strength and their dynamic evolution of different institutions. The ranks of tail risk contagion and tolerance strength are different from each other for different institutions. As time evolves, the average tail risk contagion paths shorten and the systemic risk tend to be accumulated faster. On one hand, the lag one node out degree, lag one node in degree and lag one node clustering coefficient have significantly negative effects on the systemic risk contribution of institutions. On the other hand, the lag one node betweenness and node closeness centrality have significantly positive effects on the systemic risk contribution of institutions. The results provide a completely new perspective of tail risk networks for the macroprudential regulation of financial institutions and systemic risk management.

Key words: tail risk network, conditional value-at-risk(CoVaR), systemic risk contribution, risk contagion, network topology structure