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The Measurement and Analyisis of Risk Spillover Effects on Commercial Bank in China

Author: LiYuXian
Tutor: FeiFangYu
School: Shanghai Jiaotong University
Course: Western Economics
Keywords: Commercial Bank Risk Spillover Effects CoVaR
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 156
Quote: 0
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Abstract


The emergence of the financial crisis is often caused by a single financial institution or by the one economy. Therefore, it would influence the entire financial system. However, the current assessment of financial risk, especially the method of VaR, was lack of researching of under extreme conditions which may lead to the measure of risk spillover has been seriously underestimated. Financial markets are important manifestations of the economic development level and the overall economic quality for a country. Meanwhile, listed commercial banks are important components of a country’s financial market, which play an important role to allocate of resources in the community. Therefore, empirical research for effect of the risk of overflow of China’s listed banks is quite meaningful. This paper aims at measuring the size and direction of the risk spillover effects of China’s listed commercial banks.This paper uses quantile regression method, and the return series of our listed banks, to measures the CoVaR between those listed banks in China, and then the risk spillover effects. This paper finds out that those listed banks with large-scale assets and high profits have lower risk spillover effects and higher anti-risk ability, those banks with flexible operation pattern and strong competitive advantages in regional markets have relatively stronger ability to withstand the risk spillover effect compared to the national commercial banks, banks with large-scale assets have larger spillover risk effects to the banking sector. The above mentioned conclusions provide useful advices and references for the financial risk management of the bank regulatory commission.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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