Study about the Systemic Risk Spillover Effects of Commercial Banks: Measuring of Conditional Value-at-risk and Systemic Risk Contribution

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Journal of Central University of Finance & Economics ›› 2018, Vol. 0 ›› Issue (12) : 37-51.

HE Zhuo-jing, ZHOU Li-guo, YAN Li-xin

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Abstract

Based on the asymmetric correlation structure between commercial banks and the financial system, we combine the variational mode decomposition (VMD) method and time-varying Copula-CoVaR approach to analyze the short- and long-run risk spillovers between commercial banks and the financial system, using the stock market data of 14 listed commercial banks in China. We find some evidence in our empirical studies. Firstly, the systemic risk contributions of large commercial banks are higher than those of small commercial banks. Secondly, the systemic risk spillover effect of commercial banks differs in time dimension. Industrial and Commercial Bank of China, China Construction Bank and Bank of Nanjing have higher short-term systemic risk spillovers than other commercial banks, while China Minsheng Bank, Bank of Beijing and Ping An Bank rank the top three in terms of long-term systemic spillovers. Thirdly, joint-stock commercial banks contribute more to the systemic risks of the financial system than state-owned commercial banks and city commercial banks. When the stock market is in an abnormally volatile period, the short-term spillover effect of systemic risk of state-owned commercial banks is significant.

Key words

Systemic risk / Spillover effect / Time-varying Copula-CoVaR / VMD / Commercial banks

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HE Zhuo-jing, ZHOU Li-guo, YAN Li-xin. Study about the Systemic Risk Spillover Effects of Commercial Banks: Measuring of Conditional Value-at-risk and Systemic Risk Contribution[J]. Journal of Central University of Finance & Economics, 2018, 0(12): 37-51

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