An Empirical Study On The Systemic Risk Of China's Commercial Banks

Financial systemic risk refers to that the failure of some financial institutions has a very serious negative impact on the financial system and the real economy.The banking industry is in the dominant position in the financial market,the risk spillover effect caused by the failure of banks needs more attention.Based on the return data of 16 listed banks from September 1,2010 to December 31,2016,this paper adopts the dynamic Copula model and three systemic risk indexes,such as incremental conditional value at risk,marginal expected shortfall and expected capital shortfall to study the systemic risk of China's commercial banks.In this paper,we first use the IGARCH-T model to fit the conditional volatility,the dynamic Copula method to model the time-varing dependence structure,and then we use the three indicators to measure the systemic risk of listed banks.Finally,this paper starts from the definition of the financial systemic risk,and uses the Granger causality test method to test the rationality of the three systemic risk indexs for the first time.There are three main conclusions:(i)Based on the BIC criterion and the backtesting of the conditional value at risk,dynamic t-Copula model is superior to static Copula model and DCC-GARCH model,it can not only describe the time-varying linear correlation,but also capture the non-linear and tail dependence between the banks and the market which can more accurately describe the financial systemic risk.(ii)The three indicators are different in measuring the systemic risk.?Co VaR focus more on the tail dependence between banks and the market,MES focus more on the systematic risk of the banks,both identify the Systematically Important Banks as "too connected to fail".While SRISK index focuses on the banks' size,identify the Systematically Important Banks as"too big to fail".(?)The Granger causality test shows that only the expected capital shortfall indicator can really measure the systemic risk of China's commercial banks,indicating that the bank's size is the most important factor for identifying the Systematically Important Banks(SIB).