我国银行业系统性风险中的共同风险及溢出效应研究

Study on the Common Risks and Spillover Effects of China's Bank Systemic Risk

本文首先分析了我国11家商业银行的收益率波动情况、相关系数和协方差矩阵,从实证的角度证明了我国银行业系统性风险共同因素的存在,得到了不同性质的商业银行之间收益率相关程度的异同。其次,通过计算各银行的Co VaR值,比较了三类银行对整体系统性风险贡献度的差别。最后,针对实证研究的情况,给出防范系统性风险发生的政策建议。

First of all, this paper uss empirical analysis of eleven China＇s commercial banks＇ yield fluctuation, correlation coefficient and eovarianee matrix from the perspective of empirical evidence to prove that the existence of common factors in bank systemic risk and the different nature of the commercial banks related to the degree of different income rate. Secondly, by calculating the banks＇ CoVaR value, it gets the overall systemic risk contribution difference between three kinds of banks. Finally, according to the empirical research, policy recommendations of prevention of systemic risk will be given.