Research On Systemic Risk Spillover Effect Of Chinese Commercial Banks Based On CoVaR

Both China’s and the world’s financial systems are facing the test of being impacted by systemic risks.As the core component of the financial system-the banking industry,it plays a vital role in ensuring the smooth operation of the national economy.This thesis selects the spillover effect of banking system risk as the research object,which is of great significance for formulating macroeconomic policies to ensure the normal operation of the national economy.Firstly,this thesis summarizes the relevant theories and research of bank systemic risk,focuses on the value at risk Va R and conditional value at risk Co Va R,and finally selects a more comprehensive risk measurement tool Co Va R model to study the systemic risk spillover effect of Chinese commercial banks.Then,this thesis selects the data of 16 commercial banks listed in a shares from July 1,2013 to July 1,2021,and makes a comprehensive study on the systemic risk and spillover effect of 16 commercial banks by using Co Va R model(static and dynamic)based on quantile regression method.Based on the static Co Va R model,this thesis analyzes the static Risk Spillover Effect of commercial banks on banks as a whole,the comparison between Va R and ΔCo Va R,and the estimation results of systemic importance coefficient;Using the principle of asset pricing model,add state variables more in line with the characteristics of China’s financial market into the dynamic Co Va R model,measure the Dynamic Risk Spillover value,analyze the time-varying characteristics of bank systemic risk spillover through this index,and vertically compare the differences of Systemic Risk Spillover Effects of the same bank at different time points.Finally,the results of static and dynamic Co Va R models based on quantile regression method are tested by index method and MES method respectively.The results of static and dynamic Co Va R calculation show that:(1)the level of systemic risk is also different with different types of commercial banks.Compared with the joint-stock and city commercial banks,the systemic risk of China’s state-owned commercial banks is smaller;City commercial banks have the highest level of systemic risk and the highest volatility,especially in the event of crisis.(2)For the ranking of banking system importance,the results of this thesis are different from those released by the people’s Bank of China and the China Banking and Insurance Regulatory Commission.This may be due to the different selected indicators.This thesis shows that the old four state-owned commercial banks rank among the top five,while Minsheng,Huaxia,industrial and Bank of Beijing have developed rapidly in recent years and also rank in the forefront of the ranking of system importance.(3)For the risk spillover effect,generally,urban commercial banks > joint-stock commercial banks > State-owned Commercial Banks(cities and joint-stock commercial banks can also be said to be equal).When a crisis occurs,the relationship between the Risk Spillover Effect of three types of commercial banks on the banking system becomes: state-owned commercial banks > joint-stock commercial banks > urban commercial banks.According to the conclusions of theoretical research and empirical analysis,this thesis puts forward the following three suggestions on how to reduce commercial banks’ own risks and how to strengthen the supervision of commercial banks’ systemic risks: first,establish a banking systemic risk supervision,evaluation and early warning system combining macro and micro prudence;Second,further strengthen and improve the supervision mechanism of China’s systemically important banks;Third,pay attention to the risk monitoring of small and medium-sized commercial banks.