Research On The Spillover Effects Of Chinese Listed Commercial Banks’ Systemic Risk

After 1990 s, with the development of financial innovation and economic globalization, the frequency of bank risk events is getting higher and higher. The sudden collapse of one or several bank may lead to systemic risk of the entire banking system. These events attracted wide attention from all sectors of society.This paper summarized the theory of financial fragility, the theory of bank runs, and the theory of asymmetric information from the perspective of reasons for the formation of bank systemic risk. This paper discusses the transmission of systemic risk of banks through the study of the theory of risk spillover. In this paper, the theory of bank systemic risk spillover is summarized as the theory of the Risk Spillover of the closed banking system, the theory of systemic risk spillover between banks and the transnational spillover theory of systemic risk, and the routes of the banking system risks spillover were analyzed. This paper argues that in a closed bank system the systemic risks overflow mainly through information and asset price volatility; in the interbank market the systemic risks overflow mainly through the credit chain between banks; in the international bank system another way is the international cooperation between banks and enterprises.Given the Copula theory’s unique advantages shown when making correlation analysis of financial data, this paper summarized the researches of Copula theory in terms of banking risk, systematically introduced the copula theory and its applications, and analyzed the systemic risk spillover effect of China’s commercial banks through the combination of the copulas connect function and Δ CoVaR. This paper studied the dynamic evolution ΔCoVaR by introducing time-varying SJC-Copula model and compared with several other static copulas connect models. The results show that the time-varying SJC-Copula model is superior to the static model.This paper analyzed the factors affecting the bank systemic risk spillover effects, based on the measured bank systemic risk spillover effect ΔCoVaR.The results demonstrated that the stronger the profitability of banks, the larger the size, the smaller the bank systemic risk spillover effect; the greater the debt ratio, the greater their own risk, the greater the bank systemic risk spillover effect; the better macro-economic environment, the smaller the bank systemic risk spillover effect. On these basis, we proposed several countermeasures to prevent banking systemic risk, and noted that we should establish a systemic risk early warning system, improve the ability of commercial banks to resist risks, strengthen the supervision and management of systemically important banks, and improve the market exit mechanism for problem banks.