CoVaR-Based Systemic Risk Measurement of Commercial Banks
|School||Shanxi University of Finance|
|Keywords||Cmmercial Bank Systemic Risk Quantile Regression VaR CoVaR|
In August2007after the financial crisis, the countries banking industry suffered a great loss,default loss of the large banks abroad lead to a wide range of infections and diffusion. This viciouscycle leads to the emergence of the global banking systemic risk. Since the bank systemic risk has ahighly contagious and destructive extremely shocked, When it happens, it will endanger the entirefinancial system and lead to the emergence of the financial crisis, even the entire global economywill be affected, it also can hinder the development of the world economy. Therefore, the study ofbank systemic risk measure is very necessary. During the financial crisis, china’s banking sector hasalso been some impact.In this paper, the research content is the risk measruement of individualbanks and the banking industry.Based on bank systemic risk measure-VaR, the paper leads to paper’s main CoVaR method andintroduced its detailed description and specific calculation process analysis model,the paper useCoVaR method on Chinalisted banks empirical analysis of systemic risk. In this paper, we usingquantile regression method calculated the VaR and CoVaR of12commercial banks listed on theShanghai Stock Exchange, the empirical results show that the state-owned commercial bank’sability to control risk is better, and they also have better risk prevention mechanism.We found that the use of VaR method of measuring risk spillover between financialinstitutions and financial markets may lead to financial market risk level has been seriouslyunderestimated, compared with traditional risk measurement techniques, CoVaR method cancapture to the financial institutions’ risk spillovers to other financial institutions, it is a morecomprehensive risk measure.CoVaR can capture the risk spillovers of financial institutions, so itcan result in an overall performance of financial institutions’ risk. And later for the results ofresearch and analysis, the paper propose effective policy recommendations of the supervision of thebanking system.At last chapter,the paper propose the outlook of thesis topics prospects on the basisof the previous chapter studies.