金融科技对金融机构的风险溢出效应——基于GARCH-EVT-Copula-CoVaR模型的研究

金融科技规模不断扩张,其风险溢出问题影响着中国金融稳定.基于中国金融科技自身特点,筛选最优Copula函数,运用GARCH-EVT-Copula-CoVaR模型测度金融科技对不同类型金融机构的风险溢出值.结果发现:金融科技和金融机构间存在双向风险溢出;金融科技对不同类型金融机构的风险溢出不尽相同,金融机构中银行业所承担的风险溢出最高,其次是基金业和证券业,保险业最小;相比之下,金融机构对金融科技的风险溢出更为明显.

The Risk Spillover Effect of FinTech on Chinese Financial Institutions : Based on GARCH-EVT-Copula-CoVaR model

The scale of FinTech industry is constantly expanding, and its risk spillover problem affects China''s financial stability. Based on the characteristics of China''s financial technology, selecting the optimal copula function, the GARCH -EVT-Copula-CoVaR model was used to measure the Risk Spillover value of FinTech industry to different types of financial institutions. The results show that: there are two-way risk spillovers between FinTech industry and financial institutions: the risk Spillovers of FinTech industry to different types of financial institutions are not the same, the risk Spillovers of banking industry in financial institutions are the highest, followed by fund industry and securities industry, and insurance industry is the smallest; In contrast, the Risk Spillover of financial institutions to FinTech industry is more obvious.