Systemic risk of systemically important financial institutions in the post‐2008 global financial crisis era: A tail risk network analysis
研究了2010至2023年间46家系统重要性金融机构的尾部风险网络，发现全球系统重要性银行的风险受多种冲击驱动，而保险公司的风险主要由新冠疫情驱动，且两者风险存在双向因果关系。
Abstract We examine the systemic risk of 46 systemically important financial institutions (SIFIs), that is, 34 global systemically important banks (G‐SIBs) and 12 global systemically important insurers (G‐SIIs) between 2010 and 2023. We use tail risk network‐based systemic risk measures for SIFIs. We find that G‐SIBs' systemic risk is driven by various shocks, including the 2011–2012 Eurozone crisis, the 2018–2019 US–China trade tensions, and the 2023 US regional bank crisis. In contrast, G‐SIIs' systemic risk is largely driven by the 2020 COVID‐19 pandemic. Moreover, the distribution and correlation of systemic risk for G‐SIBs and G‐SIIs vary significantly across jurisdictions. We also find a bidirectional causal relationship between G‐SIBs' and G‐SIIs' systemic risk. Our findings have important implications for the tail risk independence and stability of the financial system.