CoVaR Based Systemic Risk Research Of Commercial Banks In China

Since the financial crisis beginning in 2008, many countries’ banking industry suffered a lot. The spread of the crisis leads to a wide range of infections, the depth of the impact is also very far-reaching. Due to the crisis induced the Domino effect, people began to pay attention to the macro prudential supervision system. Systemic risk has become the focus of macro Prudential supervision. The scientific and accurate measurement of systemic risk is the premise of effective supervision. Because the banking systemic risk has very strong infectivity and negative externality, once the risk occurred, the stability of a country and even the world’s financial system would be affected, so the research on the bank system risk measure is very important. Although China’s capital market is not fully open, in the crisis did not occur systemic banking crisis, but with the further opening of China’s financial market, the marketization of interest rate gradually advanced, we must also pay attention to study the risk in China’s banking system.On the basis of summarizing the research results of systematic risk measurement at home and abroad, this paper sums up the definition of banking systemic risk, and summarizes the characteristics and causes of the banking systemic risk. This paper also analyzes the cause of banking system analysis. After making qualitative analysis of the bank system risk, I use the GARCH-CoVaR model to make the empirical analysis on the commercial bank system risk in our country. At last, the paper puts forward policy recommendations to prevent systemic risk in our country.The Empirical results show that from the VaR index, generally large commercial banks have lower value at the non risk than the small and medium-sized banks; from the Covar index, small and medium-sized banks in the conditional value at risk is generally higher than large commercial banks; from CoVaR, the value at risk spillovers are minimum for Shanghai Pudong Development Bank, China Merchants Bank, China Everbright Bank, Agricultural bank, Industrial and Commercial Bank; from the results of the final system risk contribution, state-owned commercial banks risk spillovers is generally higher than small and medium-sized commercial banks, indicating that state-owned commercial banks have an important role in the China’s banking system risk level.