Research On The Market Risk Contagion Of China's Systemically Important Commercial Bank During The Period Of Money Shortage

In 2013,China's financial industry broke out two money famine,which had a great impact on China's banking and even the financial industry.In June 7th,SHIIBOR increased significantly,followed by a delay in the trading system and a large area of default.In December 19 th,SHIBOR surged again to create a new high since June.The two crisis has made an important impact on the stable operation of China's banking industry.The links between banks are increasingly close,and the risk of a single bank is spillover to other banks through various channels,resulting in the spread of crisis and risk.Systemically important commercial banks play an important role in maintaining the steady operation of China's banking industry.It is very important to study the contagion problem of market risk in China's systemically important commercial banks,so as to prevent financial risks and maintain financial stability.In this paper,the Copula model is used to test the market risk contagion of the systemically commercial banks of our country during the period of money shortage.Based on the theoretical introduction to the definition,channel and measure method of interbank risk contagion,use bank stock returns data to construct GARCH models of each bank in different periods of the crisis.Using probability integral transformation,the fluctuation ratio can transform to the edge distribution,and the Copula function is used to combine the edge distribution.The two element frequency histogram,Kendall rank correlation coefficient and tail dependence coefficient are used to analyze the occurrence and intensity of risk infection.The innovation of this paper is applying GARCH-Copula technology in the measurement of interbank risk contagion and taking the 2013 money shortage event as the research sample,we use the tail dependence coefficient to analyze the size of risk infection intensity.Through empirical tests,it is found that there is a risk infection between Bank of China and Agricultural Bank of China,China Construction Bank and ICBC in 2013,and the risk of infection is greater than that of Agricultural Bank of China.Because the risk contagion has occurred in the money shortage,the banking industry in China should carry out management supervision to prevent the recurrence of risk contagion.Banks should strengthen their operation and management,arrange assets allocation funds rationally,and strengthen internal control and risk assessment.Regulators should strengthen supervision and control,and improve financial safety nets.