CoVaR-Based Systemically Important Evaluation And Its Application

With the development of the modern financial,our country faced with the complicated international and domestic economic environment.Mixed management in financial industry developing rapidly, the problems of financial institutionsemerged such as the "Too big to fail" and "Too associated to fail" and so on. Size and competitiveness of some large commercial banks in China is growing, and the banking sector has played an important role in the domestic financial system.In order to avoid crisis of these institutions, in order to maintain economic stability in our country, we must strengthen the identification, evaluation and regulation of the banks.This paper based on the theory of systemic risk, the definition and identification methods, analysis for the importance of system identification methods at home and abroad, and then use the CoVaR method, combining with quantile regression and GARCH-Copula-Co VaR,using the two methods to quantify the risk spillover effects and the risk of overflow ratio of 14 listed banks in China in different angles of the whole banking sector, then rank the banks and make comparative analysis, the following conclusions: CoVaR method relatively VaR method is a more comprehensive risk measure;Industrial and Commercial Bank of China(ICBC), Bank of China(BOC),China Construction Bank(CCB),China Citic Bank, Bank of Ningbo’s systemic risk contribution to the whole banking system is bigger than the others;Scale of a bank is an important factor of recognition systemically important Banks but not the only indicator;Quantile regression method is simple, easy to operate, but it is not considering the heteroscedasticity of financial time series, It alsocan’t depict the complicated nonlinear relation between Banks and banking, GARCH-Copula-CoVaR methods can solve these problems, thus better able to identify systemically important financial institutions.Hopingwe can use the study of this article, to strengthen the regulation of systemically important Banks, formulate and improve relevant laws and regulations.