基于GARCH-Copula-CoVar方法的我国银行系统性风险的度量研究

Based on GARCH-Copula-CoVar methods of bankMeasure of systemic risk

借鉴Adrian和Brunnermeier的方法,同时考虑到了金融变量之间的动态相关关系,提出了应用GARCH-Copula-CoVar的方法来测度了我国上市银行的系统性风险以及边际风险贡献,研究发现,规模大的银行其自身的风险控制能力更强,而对于那些中小银行,它们的风险抵抗能力相对较弱;在考虑了单个银行的风险溢出条件下,系统性风险明显增加,存在明显的风险溢出,特别是规模较大的商业银行容易带来更大的风险溢出。

Adrian and Brunnermeier reference method, taking into account the dynamics of the financial relationship between the variables proposed application GARCH-Copula-CoVar way to measure a country listed banks and the marginal risk contribution to systemic risk, the study found large-scale bank risk control their own stronger, and for those small and medium banks, and their ability to resist risks is relatively weak; After considering the risk of individual banks overflow conditions, systemic risk increased significantly, there are obvious risks overflow, especially larger commercial banks easy to bring greater risks overflow.