Comparison of Systemic Financial Risks in the US before and after the COVID-19 Outbreak—A Copula–GARCH with CES Approach

The analysis and prediction of systemic financial risks in the US during COVID-19 pandemic is great significance to stability markets even world. This paper aims predict risk before by using copula–GJR–GARCH models with component expected shortfall (CES), also identify systemically important institutions (SIFIs) for two comparative periods. empirical results show that overall increased after outbreak pandemic, especially first half year. We predicted four extreme were basically successful capturing high markets. Second, we identified SIFIs, depository banks made greatest contribution from groups. Third, epidemic, share Broker–Dealer Other Institutions has apparently increased. Finally, recommend regulators should consider macro-prudential guidance major institutions, pay more attention Broker–Dealers, thereby improving global