The Study Of Systemic Risk Of Listed Banks Based On Copula-CoVaR

With the development of China's financial industry and the opening up of financial markets,domestic financial markets are more and more vulnerable to the impact of international financial markets.In addition to the widespread contagion of financial risks,it is imperative to strengthen the identification and control of financial risks.The banking industry occupies an important position in the financial system of our country and its risk status directly affects the stability and development of the entire financial system.In order to rationally measure the systematic risk of the bank,identify the system's importance banks,and provide reference for the formulation of policies and measures related to financial risk control,This paper choose the daily closing price data of the stocks of 16 listed banks in China from 2010 to 2017 and adopts GARCH-Copula-CoVaR Method for modeling analysis.This paper first introduces the basic concepts of GARCH-Copula-CoVaR method.Then,with the daily stock logarithmic return rate of listed banks in our country,this paper makes an empirical analysis of the systematic risk of banks:Firstly,the data stationary test,autocorrelation test and ARCH effect test,etc.which lay the foundation for subsequent modeling.Secondly,the ARMA-GARCH-t model is fitted to the logarithmic return data of each bank,and the best model is selected by comparing the fitting results of GARCH model,TGARCH model and EGARCH model.Finally,we estimate the parameters of the three types of Archimedes Copula functions respectively,According to the AIC criterion,we find that Clayton Copula works best.Therefore,we should use the function to calculate the VaR,CoVaR,%CoVaR and so on.The research shows that the unconditional VaR of state-owned large-scale banks is lower than that of jointstock banks and city commercial banks,while the CoVaR is significantly higher than that of other banks.The contribution of systematic risk is also at the forefront.It shows that state-owned commercial banks are systemically important banks.Their own risk is relatively small,however,their impact on system risks is very large.Regulatory authorities can make corresponding risk management and control measures according to the systematic importance of banks.