Research On Systemic Risk Spillover Effect Of Chinese Listed Commercial Banks

As the core institution of Chinese financial system,commercial banks play a vital role in the stability of Chinese financial system.This paper is based on the daily closing prices of stocks of 16 listed commercial banks in China,according to its logarithmic yield sequence "spikes and thick tails" and the characteristics of volatility aggregation,combined with the AR-GARCH model with generalized error distribution and quantile regression model Quantify China’s listed commercial banks’ own value-at-risk and systemic risk spillover CoVaR,and then study the differences in results at different levels of significance.The conclusion shows that: whether it is the value-at-risk of a single bank or the risk spillover effect of a single bank on the Listed commercial banking system,the state-owned commercial banks of the three types of commercial banks have low risk and strong ability to handle their own risks,and their risk spillover effects Also larger.However,when the risk spillover effects at different significance levels are considered,the ranking of internal risk spillover effects of each type of bank in the three types of commercial banks has changed,indicating that in addition to the scale factor,it is necessary to consider the contribution of the bank’s systemic risk.The level of significance should also be considered.