Study On Tail Risk Spillover Effect Of Listed Banks In China

The report of the 19th national congress of the communist party of China(CPC)pointed out that the prevention and solution of major risks should be the first of the three maj or battles.As one of the core sectors of the financial industry,the banking industry has been playing a leading role in China's financial industry.If a systemic risk event occurs,it will spread to the whole financial industry and cause a significant impact on the national economy,so banking regulation is a priority.In order to effectively regulate the banking industry,it is necessary to have a deep and accurate understanding of the systemic risk of Banks.Therefore,this paper starts from the study of bank systemic risk and carries out the study from the perspective of bank tail risk overflow.Considering the research of Banks in China mainly concentrated on the study of the interbank lending market,more is to study the risk of direct connection between bank,so this paper based on stock market data to the bank as the research object,to pay more attention to indirect risk contagion between Banks,and put forward using the CoES to replace CoVaR,focus on the average of the tail risks,a more accurate measure tail risk level of the bank.In this paper,the similarity matrix and adjacency matrix are established through the similarity of tail risk distribution of Banks,and the heat diagram of the similarity matrix and adjacency matrix are drawn respectively.It is concluded that the correlation between tail risks of Banks in different window periods is different,that the correlation between Banks has strong positive correlation,and that the correlation between tail risks of Banks has aggregation effect according to the type of Banks.Then,this paper uses the adjacency matrix and the characteristic variables of banks to score and decompose the systematic risk,explores the overall situation of the systematic risk of China's banking system and the contribution of each bank to the systematic risk,and concludes that the systematic risk of China's banks has the characteristics of overall stability and local volatility,while the state-owned banks have the greatest contribution to the systematic risk.Based on the adjacency matrix,the network effect of inter-bank risk spillover is quantified and the network factor is formed.This paper listed Banks according to the type can be divided into state-owned Banks,joint-stock Banks and city commercial Banks.Using the Tail Event driven Network Quantile Regression(TENQR)model,the three types of bank risk spillover effect were studied respectively.Then we compare the same type of bank under different quantile of risk degree of overflow,and different types of Banks in the same degree of the risk of overflow quantile conditions.Through empirical research,it is concluded that the tail risk spillover effect of state-owned Banks is the largest,and there are significant spillover effects in the both left tail and right tail,while the risk spillover effect of j oint-stock Banks is higher than that of the right tail,and the tail risk spillover effect of urban commercial Banks is not obvious.By the results of empirical study,this paper puts forward innovative bank stock market indicators into the macro-prudential risk index system,and puts forward the state-owned Banks,joint-stock Banks and city commercial Banks and other different types of Banks set up different incentive mechanism and regulatory standards,encourage Banks to take advantage of their own institutions,building diversified banking system to spread a series of measures,such as systemic risk for regulators to different Banks in China different regulatory policy provides a new train of thought.Due to the late start of China's financial industry,the data of urban commercial Banks are less,which has a certain impact on the accuracy of the results of this paper.With the gradual improvement of China's financial market and the increasing number of listed city commercial Banks in the past two years,the number of Banks can be expanded in the future to include more city commercial Banks in the research scope,making the research results more accurate and convincing.