Dynamic Correlation Research On The Systematic Risk Of Chinese Commercial Banks

Financial Market plays a critical role in the development of modern economic society.Commercial Banks,as the pivot of the Financial Market,communicate all types of financial institutions.Because of the complexity and specialty of its business,commercial banks were born with risks and has become the largest undertaker of the entire financial risk.Once a commercial bank encounters severe risk exposures,other commercial banks,even the substantial economy will be hit through financial system.Systematic risk is formed when the hit is large enough.There is possibility that financial crisis will appear under serous hit.Therefore,secured and stable operation and rigorous risk regulation and control of commercial banks are crucial to the healthy operation of the entire economic society.Before the 2008 global financial crisis,central banks put limited focus on the risk.Single financial institutions always stare at their own risk exposures.But when we step into the post-crisis era,people not only strengthened the evaluation of single institution risk effect,but also gradually transferred to risk correlations among financial institutions,and focused more on the mutual influence of systematic risk on different institutions.This thesis starts from the substantial economy,through the hackle and summary of academic researches of the correlation between systematic risk and financial institution risk,aims to research the dynamic correlation of the systematic risk of Chinese commercial banks based on DCC-GARCH Model empirical test.From the perspective of the train of thought,the empirical test is divided into two parts,one part is focused on the internal risk dynamic correlation of Chinese systemically important banks,and the other part is focused on the systematic risk dynamic correlation among different types of commercial banks.This thought efficiently catches the key point of current financial regulations.From the perspective of research methodology,compared with traditional risk measuring models,the DCC-GARCH Model leveraged in the empirical test can efficiently capture the dynamic influence mechanism among sample banks.Therefore,the research substance of this thesis has significant theoretical and realistic meaning on the stable operation of the bank system,on the strengthening of the macro prudent management and control of the systematic risk,and on promoting healthy and stable development of the economy.Based on the research of this thesis,we conclude that: Firstly,stock yield rates of all types of Chinese commercial banks all show volatility clustering at different levels,but the volatility range varies.Joint-equity commercial banks and regional commercial banks show more obvious volatility clustering than systematically important banks do.Secondly,there exists positive risk dynamic correlation among the big four systematically important banks in China.The risk dynamic correlation between Bank of China and Agricultural Bank of China is the tightest while the dynamic correlations of Industrial and Commercial Bank of China and other three banks are almost the same.Although this kind of banks have strong risk resistance ability,they bear higher systematic risk,and therefore need more rigorous risk control.Thirdly,the systematic risk dynamic correlation among all three types of commercial banks in China is also obviously positive and the dynamic correlation coefficient is affected by earlier stage data.The dynamic correlation between joint-equity commercial banks and regional commercial banks is the tightest,the correlation between systematically important banks and joint-equity commercial banks comes secondly,while the correlation between systematically important banks and regional commercial banks is the third.The stock yield rates of the three types of banks are all affected by market information and earlier stage volatility.Limited by asset scale,market share and other factors,regional commercial banks and joint-equity commercial banks face greater shock from the systematic risk and therefore are supposed to keep strengthening risk control ability.