Research On Systemic Risk Spillover And Influencing Factors Of Commercial Banks

With China 's economic development entering a new normal,the financial sector 's reforming and opening,and the increasing international influence of China 's financial institutions,the report of the 19th National Congress of the Communist Party of China proposes to speed up the improvement of the financial supervision system and to guard against systemic risks.Put preventing and mitigating systemic risks proactively to a more important place.Commercial banks are the core financial institutions in China's financial system.To study the systemic financial risks of the banking system,we must not only pay attention to the risk levels of individual commercial banks,but also prevent individual commercial banks from systemic risk spillovers of the entire banking system.The research is of great significance for grasping the systemic risk level of the banking industry,and it is also conducive to the supervisory institutions to carry out targeted risk supervision of commercial banks.Based on a review of relevant definitions,influencing factors,and measurement methods of systemic risk spillovers,this article discusses the characteristics,causes,and sources and paths of systemic risk spillovers.This paper analyzes the current situation of systemic risk management in China's commercial banks and proposes the necessity of risk spillover measurement.The CoVaR(Conditional Value at Risk)model based on quantile regression was used to measure the systemic risk spillovers of 16 major listed commercial banks in China from static and dynamic dimensions.The measurement results show that the systemic risk spillovers of different commercial banks are different.The systemic risk spillovers of state-owned commercial banks are larger than those of joint-stock commercial banks and larger than those of city commercial banks.At the same time,the measurement results show that the level of commercial banks' risk will affect systemic risk spillovers,but not Equivalent to systemic risk spillover.CoVaR is a better tool for measuring the risk spillover level of commercial banks compared to VaR.In order to discuss the impact of the characteristics of commercial banks on their systemic risk spillovers,this article takes the dynamic CoVaR value of each commercial bank as the dependent variable,and uses the bank size,financial leverage,and profitability as independent variables to select economic growth,interest rate levels,and maturity.Macro factors such as interest rate spreads and liquidity spreads are used as control variables to construct a panel data model.The theoretical and empirical aspects of the system are used to analyze the influencing factors of systemic risk spillovers at 16 commercial banks.It was found that scale,leverage,and profitability all had a positive impact on bank systemic risk spillovers.Among them,scale has the largest impact,followed by leverage,and profitability has the smallest impact.Based on the measurement of systemic risk spillovers and the analysis of influencing factors,this article summarizes and analyzes,and proposes countermeasures and suggestions for China's banking industry risk prevention and supervision.