Abstract: The network correlation between modern financial institutions is getting stronger and stronger, and the risks are easy to overflow among the institutions, therefore, to effectively identify and analyze systemic risks is a key step to prevent financial crisis. This paper selects all the daily data of 45 financial institutions from January 2012 to September 2019 and uses the Diebold information spillover network to analyze the spillover characteristics of CoVaR among the institutions. The results show that, firstly, the systemic risks among financial institutions are very contagious, the static and dynamic total spillover values ??are as high as 71.41 and 86.78 respectively, and the banking industry is the most important source of risk spillovers, while the net spillover value of the securities industry will increase significantly when the risks break out. Secondly, in terms of industries, the systematic risk contagion inside of the securities industry is more close, followed by the banking industry, the insurance industry is the smallest; the moderately-sized banking institutions and the larger-scale securities institutions have greater influence throughout the system. Therefore, we should establish financial firewalls to prevent the rapid spread of financial risks among different industries, adopt different regulatory measures for different industries, and strengthen the identification and supervision of important systematic institutions.

Key words: CoVaR, financial risks, systemic risk, risk spillover, risk contagion