Research on the Measurement of Spillover Effects of China’s Listed Commercial Banks
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This paper uses CoVaR method based on quantile regression to measure the financial risks of 16 listed commercial banks in China, that is, the risk spillover effect of a single institution on the banking system. Based on the assumption of quantile, we measure the VaR value of a single institution and the CoVaR value of a single institution to the system at extreme level, and use ΔCoVaR to measure the risk contribution of a single institution to the system when a crisis occurs. There is no obvious correspondence between the VaR value of a single institution and the CoVaR value of a single institution to the system. At the same time, the VaR value based on historical data measurement may underestimate the risk in the event of crisis. Effective quantification of risk spillover intensity among listed commercial banks in China will help financial regulators capture the risk intensity among banks in time, and then monitor and manage institutions with high-risk spillover, so as to maintain the stability of the financial market.
Banks, VaR, CoVaR, risk spillover