中文摘要：

本文将极值理论应用到系统性金融风险度量上,在尾部极值分布的假设下应用极端的分位数回归度量尾部的风险并研究风险变化和风险的相依性,本文度量了单一机构的系统性风险贡献并识别出我国的系统重要性金融机构。另外,本文还使用面板回归分析了金融机构系统性风险贡献的影响因素。本文得到的主要结论有：在险价值和系统性风险贡献在评价金融机构风险上的差异很大;银行类金融机构的系统性风险贡献普遍较高;金融机构的规模和杠杆率两个特征变量对系统性风险贡献的影响最显著。政策建议方面本文认为要综合考虑金融机构规模、杠杆率、股票市场贝塔值等多个特征变量,对金融机构尤其是银行类金融机构进行资本监管和约束。

英文摘要：

In this paper, Extreme Value Theory is applied in measuring the systemic risk of financial institutions. We use extremal quantile regression where extreme distribution is assumed for the tail of the conditional distribution to measure the extreme risk and analyze the change and the dependence of the risk. Meanwhile, single financial institution＇s contribution to systemic risk is measured and systemically important institutions in China＇s financial system are recognized as well. Besides, the influence factors of the systemic risk are analyzed using panel regression. We find that the value at risk and contribution to systemic risk are very different in measuring the risk of financial institution, the level of systemic risk contribution in bank sector are the highest, the size and leverage ratio are two significant and important influence factors for institution＇s systemic risk. As for policy suggestion, we hold the opinion that the characterize variables of the financial institutions such as the size, the leverage ratio and the market beta should be considered together in regulating and constraining the financial institutions.