Abstract: From the two perspectives of bottom-up and top-down, this paper applies CoVaR and MES (Marginal Expected Shortfall) to study the systematic risk spillover effect and its time-varying characteristics of China’s 23 listed financial institutions. The results show that: (1) the MES mean value of securities firms, insurance companies and commercial banks decreases in sequence, and the systematic risk contribution of securities firms and insurance companies is higher than that of commercial banks; within the banking sector, the MES value in both joint-stock and city commercial banks is higher than that in the large-scale state-owned commercial banks. (2) The mean value of of commercial banks, insurance companies and securities firms decreases in turn. As for the general systematic risk contribution of a single financial institution, the risk spillover of commercial banks and insurance companies is higher than that of securities firms towards the overall financial system; in addition, the systematic risk spillover of joint-stock commercial banks is higher than that of large-scale state-owned commercial banks. (3) The systematic risk of China’s financial institutions has obvious periodicity, which is relatively high during crisis and shows evident downward trend after the crisis. In the post-crisis era, the improvement of interbank business has reinforced the relevance between the financial institutions, and the level of systematic risk in China was improved in 2013. These research conclusions can provide useful references for both the construction of macro-prudential regulatory and supervisory framework and the implementation of the macro-prudential policies.

Key words: systematic risks; CoVaR; Marginal Expected Shortfall; macro-prudential regulation