Research On Systemic Risk Measurement Of Chinese Commercial Banks Based On AR-GARCH-CoES Model

With the acceleration of China’s financial liberalization process and the further development of globalization,China’s financial system is increasingly connected with the world’s financial system,which has exacerbated the impact of external risk shocks on China’s financial system and caused turmoil in China’s financial market.Such as the "money shortage" in 2013,the stock market disaster in 2015 and the "stock market meltdown" in 2016,these series of financial risk events have exposed the vulnerability of China’s financial system and behind these crises there are various levels of systemic banking risks.The Nineteenth National Congress of the Communist Party of China regards preventing and resolving major financial risks as one of the three major battles for building a well-off society in an all-round way,and pointed out that it is the fundamental task of China’s financial work to keep the bottom line where no systematic financial risks occur.Therefore,studying the systemic risk measurement of China’s commercial banks is of great significance for maintaining financial stability and healthy economic development.This paper selects the CSI 300 Bank Index and the daily stock market return data of 14 listed commercial banks in China,improves AR-GARCH-Co Va R based on Co ES theory,and builds an AR-GARCH-Co ES model to measure the systemic risk of commercial banks.Compared with the traditional Co Va R model,the AR-GARCH-Co ES model can capture the tail loss that exceeds the Va R threshold,allowing for more serious dilemma events.That is,the indicator pays more attention to the average value of the tail loss than just the expected loss at a single quantile,and it can measure systemic risk more reasonably and effectively.Then,consider the different characteristics of the financial market fluctuations in the time dimension.This paper introduces the VMD method to decompose and reconstruct the commercial bank’s rate of return data,measure the commercial bank’s systemic risk from the time dimension perspective,and use the K-S test method to test its measurement results.The results of the study show that the systemic risk spillover effect of state-owned commercial banks is higher than that of joint-stock commercial banks and city commercial banks,while the risks of joint-stock commercial banks and urban commercial banks are significantly higher than that of state-owned commercial banks.The systematic risk contribution of commercial banks differs in the time dimension.The systematic risk contribution of state-owned commercial banks is higher than that of joint-stock commercial banks and city commercial banks in the short and long term.