Application of GARCH-CoVaR in Systematic Risk Measurement of Listed Insurance Companies in China

Abstract

After the subprime crisis in 2008, with the rapid development of the insurance industry and the continuous close contact with the financial market, the insurance industry and then generate systemic risk. Based on the actual situation of China's insurance industry, this paper selects the stock returns of five listed insurance companies as the object, and measures and ranks the systematic risks with GARCH-CoVaR method.