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

The "money shortage" was broken out in China in 2013.Not only the commercial banks were affected by the "money shortage",but also the whole financial industry,including funds,securities firms and trusts,and the stability of China's financial system were affected.It is not conducive to the good and healthy development of the financial industry.The Central Economic Working Conference was held in Beijing at the end of December 2018,at which the emphasis was placed on speeding up the reform of the economic system,focusing on the adjustment and optimization of the financial system structure in the process of deepening the reform of the financial system,while in China's financial system structure,Commercial banks occupy an important position.In order to prevent the contagion of market risks in China's banking system,the first task is to prevent the impact of market risks on the banking industry on the basis of analysis of the causes of risks.Therefore,it is very important to study the market risk contagion mechanism of commercial banks in China,which is very important to maintain the safety and stability of our banking system and to prevent the market risks of commercial banks.The main purpose of this dissertation is to study the phenomenon of market risk contagion among 16 listed commercial banks in China during the "money shortage" event in 2013.According to the characteristics of Copula function,it is introduced into the study of market risk contagion of commercial banks.Firstly,the related concepts of risk contagion in commercial bank market are defined,and the three channels of risk contagion in commercial bank market are described.Starting from the definition and classification of Copula function,Archimedean Copula function and elliptic Copula function are introduced in detail.The parameter estimation method of Copula function is systematically combed,and finally the modeling steps of Copula model are summarized.Secondly,it introduces the beginning and end of the "money shortage",and selects the daily yield data of 16 listed commercial banks from January 4,2012 to December 31,2014,taking the "money shortage" event as the dividing line,and divides the data into pre-crisis and crisis.In the three post-crisis stages,the marginal distribution model of the logarithmic return series of 16 commercial banks before and after the crisis is established by using the t-GARCH(1,1)model.Finally,the selection of Copula function and parameter estimation are carried out before and after the crisis,and the Gumbel Copula function is selected to fit the data,and the analytical formula of tail dependence coefficient of Gumbel Copula function is adopted.The tail dependence coefficient between the Bank of China and 16 other commercial banks before and after the crisis is calculated,and the extreme risk contagion between listed commercial banks in China during the "money shortage" period is determined.The risk was spread from Bank of China to 15 other commercial banks.Finally,this research concludes the whole work and combines with the empirical results of this dissertation.This work describes the problems exposed by the listed commercial banks in China,and puts forward some policy suggestions: the central bank should continue to carry out macro-prudential policies,cooperate with the bank insurance supervision and other institutions to strengthen the external supervision of the banking industry;Systemically important banks should strengthen their own market risk management and guard against market risks,and commercial banks should strengthen their own management and internal control.