On the Recognition of Interconnectedness,Risk Spillover Effect and Systemically Important Bank
基于CoVaR和分位数回归方法，量化中国上市银行间的风险溢出效应及单个银行对系统性风险的边际贡献，发现中国银行、建设银行和工商银行贡献最大，可为监管机构识别系统重要性银行提供参考。
In the banking system,there are linkages among banks for their business dealings.The risk of a bank being under distress has a spillover effect to other banks and even the whole banking system.In this paper, based on CoVaR and Quantile Regression Theory,we quantify the spillover effect among our listed banks and one bank's marginal contribution to the systemic risk in our country.The result indicates that the highest marginal contribution to the systemic risk is Bank of China where q is equal to 0.025,and China Construction Bank,and Industrial and Commercial Bank rank the top three.This study can help the regulatory authorities to determine systemic important banks as a reference.