基于广义CoVaR模型的系统重要性银行的风险溢出效应研究

Research on the Risk Spillover Effect of the Systemically Importance Bank Based on a Generalized CoVaR Model

本文基于我国16家上市商业银行的股票日收益率数据,通过分位数回归估计广义CoVaR模型,即将CoVaR模型的条件由q分位点下的收益率等于VaR推广至最多等于VaR。在此基础上分别度量了上市商业银行对整个金融市场体系和上市商业银行对其他上市商业银行的风险溢出效应。结果表明,全国性商业银行的系统性风险普遍高于地方性商业银行,而各个上市商业银行之间的风险溢出效应具有显著的差异。

Based on the daily stock returns data of the 16 listed commercial banks in China, this paper uses quantile regression to estimate the generalized CoVaR model, which assumes that the yield under the quantile of q is at most equal to VaR. It measures the risk spillover effects of the listed commercial banks on the entire financial market system and other listed commercial banks respectively. The results show that the systemic risk of the national commercial banks is higher than the local commercial banks, and the risk spillover effects of each listed commercial banks exist significantly differences.