本项目拟对我国金融系统中的代表性市场主体，包括：股票市场、货币市场、期货市场、外汇市场等进行研究，通过上述市场间的整体联动关系，提出体系性风险识别与管理方法。首先，通过文献和计量方法选取各子系统最具代表性指数；之后针对这些指数建立系统模型，通过市场层级各金融子系统间的联动特征，研究我国金融系统中的信息传递与风险传导机制，从而识别不同市场环境下的系统性重要子市场；进而根据各金融子系统联动性的总体特征，量化体系性风险，构建我国金融系统体系性风险指数；在此基础上，运用计算实验方法对市场间联动关系进行建模和校准，开展“情景-应对”式风险管理研究。本项目将为系统性风险的识别与管理提供新的思路与方法，拟得出我国金融体系系统性风险早期预警信号，为宏观审慎监管提供政策依据。

This project focuses on the main representative financial market in the financial system of China, including stock market, money market, futures market, foreign exchange market and etc. Systemic risk identification and management methods will be proposed based on the market connectedness. Firstly, the indices will be selected to reflect the corresponding market condition through literature review and econometric methods. System model will be built with these indices to study on the information diffusion pattern, return and volatility spillover among these markets, and further conclude on the risk transmission pattern and risk accumulation under different market condition. Afterwards, the systemic risk index will be constructed based on the multi-markets connectedness. Finally, agent-based method will be applied to model and calibrate market connectedness, to carry out scenario-based risk management experiment. This project is expected to generate new systemic risk identification and management method, to construct early warning signal of systemic risk, and provide implication for macro-prudential regulation.