On Systemic Risk Spillover and Systemic Importance of Commercial Banks:Based on the CoVaR Model from China's 16 Listed Banks

doi:10.16382/j.cnki.1000-5579.2017.05.013

Abstract

Abstract:

Based on Adrian & Brunnermeier (2011)'s model,this paper uses week data of 16 listed banks in China from 2005 to 2016 to use CoVaR model to calculate commercial banks' systemic risk and their importance ranking.It shows that among 16 listed banks,the individual CoVaR and ΔCoVaR of state-owned banks (SOBs) are higher than those of joint-stock banks(JSBs). The systemic importance level of SOBs and some JSBs that have been rapidly developed in these years are greater than the rest.Moreover,scale and connection are significant factors that drive up ΔCoVaR and the importance level.Both "Too Big To Fail" and "Too Systematic To Fail" apply to Chinese commercial banks.As for the impact of systemic risk spillovers,the scale is 4.8 times of connection.As for the degree of importance ranking,the scale is 7.2 times of connection.

Key words: systemic risk, systemic importance, listed banks, CoVaR Model

LI Ming-hui, HUANG Ye-ni. On Systemic Risk Spillover and Systemic Importance of Commercial Banks:Based on the CoVaR Model from China's 16 Listed Banks[J]. Journal of East China Normal University (Philosoph, 2017, 49(5): 106-116.

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