Research On Systemic Risk’s Spillover Effects Of China’s Listed Commercial Banks

Since2007, the global economic and finance has appeared larger fluctuation,such as the subprime mortgage crisis and the European debt crisis, which producegreat harm to the global economic development and employment and the crisis alsooffer bigger risk. Since the subprime crisis, our country still maintain high growthrate, but the economic structure is unreasonable and the quality of economicdevelopment is low, the development rely too heavily on fixed asset investment andexports and problems as insufficient domestic demand is still severe, so the realeconomy contains large risk. Though the financial system develop rapidly in China,financial markets and financial environment improve all the time, but systemicfinancial risk is increasing in our country, mainly displays in the systemic financialrisk of local government and non-financial sectors increasing, the systemic financialrisk of bank system accumulating, etc. In addition, because of economic and financialglobalization in our country, bank system is faced with the impact of the externalsystemic financial risks and challenges. Under this background, the research of thesystemic financial risk of listed commercial Banks in our country plays an importantrole in preventing and controlling the risk of listed commercial Banks, enhancing theability of listed Banks to resist risk, maintaining the healthy development of economy.After the outbreak of the subprime crisis，academia at home and abroad isbecoming more and more attention to the financial system and the systemic financialrisk of commercial bank，From the angle of cause, conducting research, evaluation,prevention and so on to research the systemic risk of commercial banks. The financialsystem and the systemic risk of commercial bank also has caused highly attentionfrom the international financial regulators such as the IMF, The world bank, TheBasel committee on banking supervision, also including the Chinese government.After The international financial crisis of2008, the Chinese government emphasizedon many occasions, Adherence to the bottom line of no systemic regional financialrisk. In July2013,‘the guidance of financial support for economic restructuring andtransformation’ issued by the state council emphasized again that Lock, prevent andresolve Financial risk timely, adherence to the bottom line of no systemic regionalfinancial risk. So, researching the spillover effects of systemic risk about the commercial Bankslisted in China will be play an important role in evaluating the systemic risk andSpillover effects,preventing and reducing banking systemic risk and enhancing therisk resistance ability, maintaining the healthy and stable development of the economy.In this background, this paper adopts the latest research about the systemicfinancial risk in commercial bank from the academia—the CoVaR theory and CCAtheory, to research the t spillover effects of systemic risk about the commercial Banksprospectively and dynamically. Firstly, from the angle of concept, characteristics,causes and measuring method to introduce the theoretical basis of systemic risk incommercial bank, analyses the conduction category and transmission channels ofsystemic risk; and then from the point of Credit risk, liquidity, capital adequacy ratio,The volatility of asset value, default distance to analyze The basic risk of listedcommercial Banks; Focus on adopting the CoVaR method to research the spillovereffects of systemic risk about the different commercial Banks listed in China; finally,come up with the precautionary measure and Summarized the research conclusion,put forward the future research direction.The research in this paper has greatreference value for evaluating, measuring and guarding against systemic risks of listedcommercial Banks in China.