A Study On The Effects Of Risk Spillover Among China's Listed Banks

Based on the analysis of previous research results, the definition?the measure method and the characteristic of Bank Risk Spillover effect was analyzed, and then this paper makes a detailed analysis on the risk status of domestic banks, which includes the three aspects of content that the particularity of China's banking?the risk status of domestic banks and influencing factors of Risk Spillover effect. In the empirical part of paper introduces the CoVaR model and quantile regression method, and selects September 28,2007 to December 25,2015 weekly closing price and index of 14 China's listed banks and bank index as the research object. After the processing of the data, we use the CoVaR model and quantile regression method to calculate the value of the listed banks VaR and CoVaR, and we calculate the the Risk spillover effect of each listed bank and the bank. According to the calculation results, we analysis the difference between Covar model and VAR model, the risk spillover effect of China's commercial banks, and the influence of risk spillover effect of the banking system to China's commercial banks.The empirical results show that:first, the CoVaR model assessing the strength of Bank Risk Spillover effect is more accurate and comprehensive compared to the VaR model. Because the CoVaR model not only measure the risk of their own, but also capture the influence of risk other banks or the banking system; second, in the Chinese banking system, the state-owned banks and the large joint-stock banks are the systemically important bank. Through the comparison of the risk spillover effect of the listed banks, state-owned banks have great risk spillover effect on the domestic banking system, the risk spillover effect of joint-stock commercial smaller than the state-owned banks, and the risk spillover effect of city commercial banks is smallest; third, the level of city commercial bank's ability to resist is low, and there is potential risk among them, and the level of every joint-stock commercial bank's ability to resist risk is different, but the ability to resist the risk of large state-owned banks is the strongest. Finally, rested on the conclusions above, three policy suggestions are proposed, which are. establishing perfect risk alert system of banking, focusing on supervising systemically important banks and improving the level of anti-risk ability.