| In the past decade or so,international subprime mortgage crisis,Asian financial crisis and European debt crisis have occurred in succession in the world,making the world economic and financial situation unprecedented challenges,a large number of corporate bankruptcies,fierce stock market fluctuations and demand reduced.The attention of international and domestic experts has been drawn.Among them,the banking industry in various countries has also suffered tremendous losses.This is reflected in the fact that bank default losses have spread to the international community on a large scale,affecting other banks and creating a vicious circle.Systemic risks of the banking industry have thus accumulated and the outbreak of systemic risks may occur.The deterioration has even led to a new round of financial crisis.Its influence will spread between different industries and hinder economic development.Therefore,how to measure the systemic risk of the bank and how to research the risk in the banking industry is very necessary.Most of the existing literature has been studied from the three causes of systemic risk,systemic risk propagation,and how to alert and prevent systematic risks.The specific research methods used are also different.Based on the introduction of the VaR method of the value at risk,this paper derives the more advanced Co VaR method of the conditional value at risk and combines the quantile regression method with the stock returns of 14 commercial banks listed on the Shanghai Stock Exchange in 2010 and before.After researching,the value of risk and the conditional value at risk are derived,and based on these indicators,the risk spillover effect and risk spillover rate between individual banks and the banking industry are calculated.The results show that the state-owned commercial banks have a higher degree of risk contribution to the banking industry than the joint-stock industry banks,and have a stronger ability to resist risks. |
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