Research On The Systemic Risk Of Commercial Banks Based On Constant And Dynamic CoVaR Method

The financial market in China has many ups and downs in recent years,such as the "money shortage","debt disaster" in 2013,the stock market crash in mid 2015 and early 2016.This series of events reveals the fragility of the financial system in China and bank systemic risk of different extent.Thus research on bank's systemic risk measure and contagious effect is of great significance.This paper discussed the mainstream method of the bank's risk management VaR and its derived CoVaR method.On the basis of theoretical analysis,this paper analyzed the constant CoVaR of bank and time variation CoVaR by quantile regression respectively.In the constant modeling section,a clustering analysis was used to clasiify the bank from the prospective of risk data,which can be helpfulul to the classified supervision.Studies have shown that the use of a single VaR model as the bank's risk measure may underestimate the bank's risk level.Because it is insufficient for risk spillover effects.While CoVaR considered the spillover effects on the basis of risk value.It is a more comprehensive risk management tools.Through the calculated results of major listed Banks and between Banks and the risk of spillover effect,the paper show that the overall risk level of most banks is higher than the bank sector.The bank's total unconditional risk value has no obvious correlation with the bank's risk spillover effects to the bank sector.Main large state-owned commercial banks' own risk and the spillover effects to the system is relatively small.Most joint-stock banks were more volatile and had higher spillover effects to the system.Banks's risk from the spillover effects of bank system has positive correlation with the bank's own risk to some extent.That is,the bank is more susceptible to the banking system if it has high risk value.In the dynamic modeling section,I choosed suitable state variables to analyze the relationship between risk of bank and macroeconomic variables according to CAPM.By analyzing the panel data of VaR and Co VaR,the paper found 3 significant systematic state variables.It also show that the state-owned banks' risk is the lowest,but it would have strong risk spillover effect on the banking sector once crisis happened.Joint-stock Banks risk is higher,its spillover effects is in the medium level.City commercial Banks'VaR is middle generally,its risk rise fastest in crisis,easily affected by the system,its risk spillover effect is higher than the joint-stock Banks.Finally,according to the results of theoretical research and empirical analysis,the paper put forward advice to reduce risk for Banks and supervise bank system risk for the regulators respectively.