Research On Risk Spillover Effect Of China’s Listed Commercial Bank

After the financial crisis in 2008, regulatory authorities pay more attention to the SIFIs especially the SIBs, taking active part in searching and exploring how to distinguish SIBs as well as what factors influent SIBs. However, regulation practices are mainly about evaluating the importance of the finance institutions by creating evaluation system. It is subjective to evaluate the SIBs by index method, and it is incapable of capturing and controlling SIBs’risk exposure by such method. This article is based on the risk spillover of banks, measuring the systemic importance of listed commercial banks (LCBs) by using math model, analyzing the factors that influent systemic importance of LCBs.Externalities, asymmetry of risk and earnings, infectivity are the substantive characteristics of systemic risk. It could have fetal influence on the real economy by micro and macro ways. CARPALS system is used to regulate the systemic risk of LCBs in China, however it is incapable of measuring the systemic risk of one bank when another is in extreme cases. So this article will evaluate the maximum risk or loss the finance system may suffer when one finance institution is in extreme cases by using Conditional Value at Risk.Dates from 12 LCBs are taken as examples, market growth rate of total assets are taken as explained variables, MR,VIX,LS,RC and HOU are taken as explaining variables. Under such precondition, the CoVaR of 12 LCB are regressed. On this basis, VaR, LEV,MTB,BE,V,M are taken as explaining variables to analyze what factors influent the Co VaR of LCBs much,In conclusion, firstly, this article combine Co VaR with quantile regression to rank the 12 LCBs by its risk spillover scale. Secondly, this article analyze what factors influent the risk spillover scale of LCBs by using panel regression, and the results shows that LEV,VAR and BE influent it much.