| The relationship between financial institutions is complex,and there are many relationships between them that are constantly changing.The subprime mortgage crisis of 2008 taught a very big lesson around the world,making all walks of life aware of the importance of risk management,especially macroprudential regulation of the system.In the face of various risks,systemic risks cannot be diversified,and regulatory authorities need to supervise and prevent them,while investors can make appropriate diversified investments to diversify unsystematic risks.The stable development of China’s economy and society is inseparable from the stable operation of the financial system,banks are in a dominant position in China’s financial system,and other financial institutions are generally developed on the basis of commercial banks,and its business covers most of the financial field,and it occupies an unshakable position in the financial field.Preventing systemic risks in the banking system is a major issue for regulatory authorities,and in the post-pandemic era,commercial banks are facing a new development environment,with both opportunities and challenges.Therefore,it also means that bank stock investors will also face a new investment environment,investors should grasp the opportunity of bank stock investment,choose a suitable portfolio to diversify risks and obtain higher returns.This paper selects the stocks of 11 listed commercial banks as research objects to empirically analyze the systemic risk measurement and bank stock portfolio of commercial banks in China,and uses R language to analyze them in the empirical process.Firstly,a variety of Copula functions are used to characterize the correlation between banks and banking systems,and the GARCH-Copula-CoVaR model is used to measure the systemic risk of banks,and the spillover effect of each bank on the banking system is obtained.Then,three Vine Copula models were used to study the interdependence structure between banks,and the Monte Carlo simulation method was used to simulate risk,and the mean-CVaR model was used to construct a portfolio of bank stocks.The empirical results show that each bank has risk spillover to the banking system,but the degree of risk contribution is different,the systemic risk spillover effect of state-owned banks is significantly higher than that of other small and medium-sized commercial banks,and the risk contribution of the banking system of Everbright Bank and Bank of Beijing among other small and medium-sized commercial banks is also relatively large.The relationship network of various banks is very close,and the relationship network of Bank of Communications in these banks is at the central node position;When the investment weight is scattered among 6 banks and state-owned banks account for a large proportion,the rate of return is also low,and with the increase of the expected rate of return,the risk of investment is increasing,the number of stocks invested is also decreasing,and finally the investment weight is concentrated in the stocks of 2 joint-stock commercial banks.Therefore,based on the empirical results,it gives suggestions for regulators to carry out differentiated supervision of bank systemic risks,and gives guidance on the selection of investment portfolios according to the interdependence structure of stocks,investors’ expected returns and risk tolerance. |
