Abstract: The impact of the （volatility index,VIX) on the tail index was considered based on the regression model. The relationship between the tail index and the systematic tail risk coefficient was studied and a time-varying dynamic systematic tail risk coefficient model was established. Based on the model, the CVaR and the time-varying tail systematic tail risk coefficient of typical stock indices of eight countries were studied. The results show that during the financial crisis, the tail risk of the global market had increased significantly. The systematic tail risks of typical stock indices of China, Japan, Russia, India, France, and England were less than those of the global market, while those of the United States and Germany were higher.