Research on Systemic Risk Spillover Effect of Chinese Listed Commercial Banks——Based on Quantile CoVaR Model

• 作者: Zirui Zhang
• 来源期刊: 经济管理学刊:中英文版
• 学科: 经济
• 关键词: COMMERCIAL BANKS RISK SPILLOVER CoVaR Model SYSTEMIC RISK
• 年，卷（期）: 2019,（2）
• 页码范围: 180-185
• 页数: 6页
• 分类号: F42

摘要

The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of Chinese listed commercial banks byconstructing the quantile CoVaR model. The study concluded that when an extreme risk event occurs, the overall risk spillovereffect of a single bank on the banking system is greater than the risk spillover effect of the banking system on a single bank, thevalue of VaR is smaller than the actual risk value when measuring the risk value of commercial banks and the CoVaR model ismore accurate in measuring systemic risk.