A Study On The Effect Of The Credit Risk Contagion Of Commercial Banks In China

Since the 21 st century,the degree of openness in the financial market has continuously increased and the economic ties between economic agents have become increasingly closer.The occurrence of credit risk contagion in the financial market has become more frequent,resulting in financial markets and economic development in almost all market economies.Serious impacts,only studying a series of issues related to credit risk itself and ignoring its contagious nature have failed to meet the community's requirements for credit risk management.Secondly,the credit issue is the cornerstone of the market economy.The spread of credit risk will increase the complexity of the credit risk in the financial market and reduce the transparency of the credit risk in the financial market,making it more difficult to measure than the traditional credit risk.Judgment and management will also make the banking crisis and even the financial crisis easier to trigger.Therefore,with a view to deeply understanding and rationally managing the credit risk contagion of China's commercial banks,only considering that the credit risk of a certain economic entity can no longer comply with the complex and changing financial environment,the research on the contagion of credit risk has become a concern for people from all walks of life.This article focuses on the analysis of the credit risk contagion effect of China's commercial banks.This topic combines the object of the commercial bank,the credit risk contagion and the contagion effect,and is one of the innovation points in this paper.Secondly,this paper introduces the Copula method into empirical analysis,combines the KMV model with index refinement,and compares and selects the most appropriate Copula function to finally estimate the model parameters and test the fitting effect.This is the second innovation in the thesis.In short,this paper first analyzed the credit risk contagion effect of China's commercial banks,combined the current status of China's credit risk and contagion,and conducted the problems faced by commercial banks from both the source management and the infectious environment.Briefly analyze.Then,based on the theory and status quo of the text,starting from the quantification of commercial bank credit risk,using the KMV model to calculate the default distance,the credit risk can be measured,and the credit risk of China's commercial banks based on the Copula function can be constructed accordingly.The contagion effect model does concrete empirical analysis and calculates the tail correlation coefficient of the defaultdistances of the two commercial banks to determine the contagiousness of the credit risk between them.After a series of theoretical and empirical analysis,this paper finally constructed the systemic importance framework of China's commercial banks,and reached the following conclusion: In China's banking system,the credit risk contagion effect of systemically important banks is the strongest.The credit risk contagion effect of systemically important banks was the second,while non-systematic importance banks had the least effect of credit risk contagion.