China's Listed Commerical Bank Systemic Risk Spillover Effect

With economic globalization and financial internationalization faster and faster pace,economic exchanges between countries are getting closer,the financial markets have been in a state of rapid development,but the financial security issues also will increasingly become serious.Since 2008,he has appeared in major US subprime mortgage crisis and the European debt crisis two economic crisis,which spread to two economic crises in many countries resulting in economic damage.This risk of a single institution directly or indirectly to other phase-related financial institutions,or even the whole financial market impact of the economic phenomenon is the systemic risk overflow.China's financial market opening trend is growing,but in our country is not very robust financial sector,the bank at the core of the entire economy,its close business dealings and complex network structure,the individual bank risk,the entire banking system would It will have a "domino effect",the risk of an individual bank's large-scale spill through channels between banks,to the entire banking system,and even the whole enormous economic and social losses.Size or their economic status,to study its effect on the prevention of systemic risk spillover of banking risk has vital importance both of its listed commercial banks.Taking of 16 listed commercial banks weekly return rate June 15,2012 to March 31,2015 for the study of the sequence,the first were used Va R model and quantile regression Co Va R model measures the 16 listed commercial the value of the bank's risk level,the results obtained and the two models are compared,the following conclusions: Co Va R model is more effective than the Va R model.Followed by the size and direction of the 16 listed commercial banks to compare the risk of spillover effects described.Then according to the nature of 16 listed commercial banks will be divided into state-owned commercial banks,joint-stock commercial banks,city commercial banks into three categories,and these three commercial banks to compare the size of the spill systemic risk analysis,the following conclusions: Bank Correlation between the effect of increasing the degree of systemic risk;a significant impact on the size of banks risk spillover effects exist;the bank's risk control is not fully affect the risk of spillover effects.Then put forward six recommendations based on empirical results: increase the bank's own anti-risk level,the establishment of the bank systemic risk measurement system,limiting the commercial banks to engage in high-risk business,adjust the focus of banking supervision,set up bankcapital protection mention,learn from the international process of systemic risk experience.This paper studies the probability when the results were analyzed,the data analysis results obtained and the reality of bank systemic risk combined bank systemic risk will be explained,it is the subject of an innovative research perspective.But China's listed commercial banks,individual banks time to market late,the research data interval is shorter,it can not fully explain the systemic risk these banks spillover effects.Therefore,it is necessary in a few years the issue again with the same calculation method,the results obtained compared with the current results of the analysis.