Research On Risk Spillover Effects Of Systemically Important Banks

U.S. subprime crisis broke out in 2007, and then the fourth-largest U.S. investment Bank Lehman Brothers declared bankruptcy, then the global economic downturned. Systemically important financial institutions has been the critical factor in the financial crisis. To be the key part of systemically important financial institutions, systemically important banks, once in the crisis, the huge losses it brings to the whole financial market will be incalculable. So gradually, academic and financial regulatory authorities pay attentions to the study of systemically important banks.This paper starts from the study of the identification of systemically important banks. Based on a review of the relevant historical literatures, firstly we declines the concept and classification of systemically important banks combined with the background of our country. Then we analyze causes and necessity of identifying systemically important banks. The current academic research methods fall into two categories:qualitative and quantitative methods.Chapter three is the part of empirical analysis of systemically important banks. Taking into account China's financial market is not perfect, obtaining the risk data of infection to inter-bank is difficulty. This paper adopts Indicator-based approach using the yearly of 16 listed banks data from 2011 to 2013, to evaluate the system importance of listed Banks in our country, this paper build the index system from the five categories of the complexity and scale, correlation, alternative indicators and public confidence. After analysis this paper draw the conclusion that the ICBC and BOC has high-ranking of five state-owned commercial banks and the ranking of the rest is not stable. Chapter four expounds causes of the effect of risk spillover of systemically important banks, laying a theoretical foundation of Empirical Analysis based on GARCH-CoVaR Model in chapter five. Based on these findings, we propose some policy recommendations for establishing regulatory framework of systemically important banks.