Abstract: This paper uses the tail systemic risk measurement index (Tail-β) based on extreme value theory to explore the tail systemic risk heterogeneity of different types of financial institutions, from both static and dynamic perspective, and also analyzes the correlation of cross-section tail risks. The results shows that: (1) urban commercial banks are more sensitive to adverse shocks and have insufficient ability to deal with risks; (2) under extreme circumstances, the securities sector is more vulnerable and has obvious financial risks; (3) the correlation degree of tail risk between sectors increases significantly with the occurrence of extreme financial eventsspecificaaly, the banking and insurance sectors have the strongest risk correlation, and there is a general risk correlation effect between the securities sector and other sectors; (4) the real estate sector is also the main exporter of financial risk in the period of stock market turbulence.

Key words: financial institution; systemic risk measurement; extreme value theory; tail systematic risk; correlation effect of risk