The Study On The Systemic Risk Measurement Of Commercial Banks In China Based On GARCH-CoVaR Method

Banks are the enterprises which are born to manage risks, and risk management isan eternal topic of the banking industry. The financial crisis gives us a lesson that is toexamine the stability of the entire financial system as a whole, and to establish a moremacro-prudential regulation system. Basically the object of macro-prudentialregulation is the systemic risk, and to realize the systemic risk of accuratemeasurement is the precondition of macro-prudential regulation. Although our countryhas not yet happened systemic banking crises, but in the marketization of interest rategradually at present, and in the face of foreign bank’s comprehensive competition,China’s banking systemic risk should not be ignored. The China banking regulatorycommission chairman Liu Mingkang warned that the bank systemic risk has beengradually accumulated, it’s badly needed to study China’s banking systemic risk. Thepriority of controlling systemic risk is to measure systemic risk accurately.Based on predecessors’ research results, the basis of theoretical analysis onsystemic risk from four aspects are discussed in detail: the definition, characteristics,formation theory and transmission channel. By comparing the measure method ofsystemic risk, the paper select the GARCH-CoVaR model, select16listedcommercial Banks in China as the research object, through the calculation of systemicrisk contribution of each bank, measures of systemic risk of commercial banks inChina.The results show that the joint-stock commercial banks have higher value at riskthan that of large commercial Banks. But conditional value at risk of large commercialbanks are generally higher than that of joint-stock commercial banks. Banks of China,China construction bank, pingan bank, Shanghai pudong development bank have alarger contribution of systemic risk than the other banks. Then the paper carries on theanalysis to our country banking systemic risk. Finally, systemic risk factors unique toour country’s banking system have been analyzed specifically, and the relevant policysuggestions to prevent systemic risk have been put forward.