吴敏灵

本文采用条件风险价值CoVaR的方法，使用2007-2015年的申银万国二级金融行业指数收益日数据，评估了我国银行业、证券业和保险业的对整个经济的系统风险贡献。研究得出结论是：（1）保险业的系统风险贡献略高于银行业，最小的是业证券。（2）每个金融行业，在金融危机期间的系统风险贡献大大高于危机后。

系统性风险；CoVaR方法；分位回归

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