The Research On Measurement Of Systematic Risk Contagion In Chinese Commercial Banks

Since the 1990' s, with the rapid development of the world economy and international finance, the frequency and scale of the financial turmoil and banking crisis has a larger potential. The ensuing various types of risk contagio n caused by the drastic changes is also more obvious in financial market. Commercial banks are essential financial intermediates for financial system to function stably and healthily, and are also important components of modern financial systems. At present, with the rapid development of China ' s banking, there is a high degree of correlation between the modern banking system.Commercial banks lend and borrow capital through the interbank funds market to meet the liquidity and profitability requirements, therefore it inevitably increase the correlation between the main risk exposures of banks and then provide a media for the systematic risk contagion in commercial banks.However, because of the anfractuosity in commercial banks market, domestic and foreign scholars mainly focus their study on formation mechanism ? influencing factors and risk measure about systematic risk in commercial banks, not systematic risk contagion in commercial banks, so it has not formed a complete independent theoretical system. Based on the Copula function and Wilcoxon's signed rank test,this paper has important theoretical and practical significance for the research on measurement of systematic risk contagion in banking system.Firstly, my dissertation discusses the basic theory of systematic risk contagion in the commercial banks, what is based on the achievements in scientific research summed up by our predecessors. After defining of systematic risk and unsystematic risk, it further elaborates the causes ? characteristics and channels of the systemati c risk contagion. Afterwards, it introduces the basic principle of the Copula function and Wilcoxon's signed rank test. Furthermore, this paper measures the marginal distribution and tail correlation coefficient according to the interbank borrowing data of China's 16 banks by MATLAB,a mathematical tool.Then using Wilcoxon's signed rank test and making a random effects model, the dissertation analyses systematic risk contagion and draws a conclusion that : the risk of contagion effects among commercial banks happen s in China, but it is not very serious; municipal commercial banks are more likely influenced by the systemic risk contagion than five major banks. Finally, it puts forward ultimateness and suggestions.