Abstract: Due to the shackles of traditional systemic risk definition, the existing research is not concerned enough about the key risk areas，and the key risk factors are also not considered enough，so that in the process of synthesizing FCI, there is no clear key risk area and key risk factors，and the existing research rarely has a systematic classification of the index system for the synthesis of FCI from the perspective of the risk source. From the perspective of systemic risk impacting source，this article expands and constructs the FCI, which includes key risk factors，and drawing lessons from the construction thought of macroeconomic climate index system，takes FCI as the synchronization indicator to construct financial prosperity index system，that consists of the financial consistency index，the financial leading index and the financial lagging index. In the process of describing the key risk factors，a IMS-AＲ model with infinite regime and time-varying characteristics is constructed and programmed. Besides，this paper uses K-L Distance to examine the main research issues surrounding FCI，that is the relationship among FCI and inflation，monetary policy，output，and so on，which is a useful supplement to existing research. Finally，we use rolling prediction method to predict the future 12 periods of FCI，to provide operational basis for the formulation and implementation of follow-up economic policies. The study found that，among the key risk factors，the inertial characteristic of the volatility of housing prices and the risk of bad loans in banks，that also affect by other factors，is obvious，which means risk monitoring should be carried out，but the risk of production capacity is significantly affected by other factors，so the economic policies and regulatory measures are needed to ensure the stability of the industry with excess capacity; China's Financial Supply-side Structural Reform has achieved initial results，and the financial structure has been optimized; through factor loading analysis, we find that the stock market is a barometer of the financial situation and is closely related to the financial leading index; The prediction shows that China's economic growth will face greater uncertainty in 2018，but it is important to note that China is in a risk accumulation system with higher transfer probability at present and for some time to come，and there are other factors that affect the stability of China's financial situation，so more attention should be paid to the prevention and control of systemic risk， although the characteristics of the positive long-term development trend have not changed; at present and in the near future，China is in the risk accumulation zone with higher transition probability，but there are other factors affecting the inertial characteristics of China's financial situation，attention should be paid to preventing and dealing with the possibility of conversion from risk accumulation area to risk release zone under unexpected impact. The robustness test results show that the synthesized FCI is effective and robust in identifying the historical evolution of China's financial situation and predicting future trend changes.

Keywords: Key-Risk Factors; FCI; Financial Prosperity Index System; Forecast.