Author(s)

Dou Zhenjiang

Corresponding Author

Dou Zhenjiang

Abstract

Preventing systemic financial risks and maintaining financial stability are the focus of government departments at present. The risks of financial institutions are reflected in stock returns. Therefore, this paper draws lessons from the RMES risk measurement method of Brownlees & Engle (2016). Based on the daily yield data of 39 listed financial institutions, the systemic risk of my financial institutions is measured. The measurement results show that the method can accurately identify the systemic risk trends and major risk events of financial institutions in China.

Keywords

Financial Institutions, Systematization, Risk Measurement