The Measurement Of Chinese Listed Banks' Systemic Risk

Since the financial crisis in 2008,many countries have gradually strengthened the supervision of financial in macro areas.They are committed to the study of systemic risk measurement,cross-institutional structure,cross-country sytemic risk model,the comovement effect and risk spillovers.In this background,it is imperative to study the systemic risk of Chinese financial sector.This paper focuses on the study of the risk measurement and the risk spillover effect of the major commercial banks in China.The reason is that the commercial banks are the main body of the financial institutions in China.It is important to study the systemic risk of the banks in China.It is significant for China to construct macro and prudent assessment system.This paper chooses 14 banks that have been listed and divided into three groups:state-owned large commercial banks,national joint-stock commercial banks and regional urban commercial banks.The market value,potential volatility and potential losses of each bank are calculated by using contingent claim analysis(CCA)methods.This paper compares the potential risks of individual banks,and focuses on the risk fluctuations of banks in the 2008 financial crisis,the 2010 European debt crisis,the 2013 money shortage and the stock market turmoil in 2015.Then the CoVaR method is used to calculate the contribution of individual risk to the systemic risk.According to empirical analysis,we find that the CCA method can track and capture the risk information of the bank and provide the basic data information.The CoVaR method can better describe the contribution of 14 banks to systemic risk.According to the data,this paper elaborates the risk exposure of each bank.At the end of this paper,We make some suggestions on the regulatio n,as well as the idea of further improvement of the model,and contributes to China's macro-prudential financial supervision.