基于动态CoVar模型的商业银行系统性风险研究

Research on the Systematic Risk of Commercial Banks Based on Dynamic Covar Model

文章构建了银行系统性风险的动态CoVar研究模型,旨为度量各个银行系统性风险的溢出价值,分析各银行系统性风险的溢出价值以及对银行整体的贡献情况。研究发现,工商银行、中国银行、建设银行和交通银行这4个大型国有制银行的风险溢出价值比其他股份制银行高,对整个银行系统造成的风险冲击较大,且与以往经验基本一致。

This paper constructs a Dynamic Covar Research Model of bank systemic risk,which aims to measure the spillover value of each bank systemic risk,and describe the spillover value of each bank systemic risk and its contribution to the whole bank.The results show that the Risk Spillover value of four large state-owned banks,industrial and Commercial Bank of China,Bank of China,China Construction Bank and Bank of Communications,is higher than that of other joint-stock banks,and has a great risk impact on the whole banking system,which is basically consistent with previous experience.