A Study On The Systemic Risk Of Listed Commercial Bank In China

Modern economy is inseparable from the support of financial i nstitutions. Meanwhile, commercial banks are the basis of financial market, which play an important role in the optimal allocation of resources. With the openness of China’s financial market, China Banking gradually integrates into the global finance econo my, and commercial banks contact others more closely. However, this close relationship may exacerbate individual banking crisis by infection, proliferation, and even lead to the bank systemic risk. As we all know, banks in China’s financial system have bee n in the dominant position for a long time. Once the systemic risk breaks out, it will threaten the financial system and the development of China economy. Therefore, understanding what the bank systemic risk is, how to form, how to effectively measure and how to prevent is necessary to improve the ability of our system resisting risks. Obviously, there is of great significance to study systemic risk of China’s listed commercial bank.In this paper, we measure the spillover effect of China’s 14 listed commercial banks based on the quantile regression CoVaR method and sequence data of the rate of return. This paper analyzes not only the impact on individual bank when the banking system in crisis, but also the impact s on banking system when individual bank in crisis. While we study the influence factors of commercial banks systemic risk by panel regression model.The empirical results show that there is no apparent correlation between the VaR value and CoVaR value, and the VaR value may seriously underestimate the level of systemic risk. At the same time, the CoVaR value reflects the full level of systemic risk by capturing spillovers between banks. The state-owned joint stock banks have greater systemic risk spillovers than the joint-stock banks and city commercial banks, but the ability to resist risk of state-owned commercial banks are relatively strong. Furthermore, the GDP growth rate and the NPL ratio are the significant factors which affect the systemic risk of China’s commercial bank. At the end of this paper, we put up relevant policy recommendations according to the result s of study.