【摘要】 基于2007—2018年期间我国14家上市商业银行的周股票价格数据,通过分位数回归方法,计算得到我国14家商业银行的VaR以及CoVaR,度量得到银行系统间的系统性风险溢出效应。结果表明,面对外部风险冲击时,我国上市商业银行间存在着一定的系统性风险溢出效应,并且四大国有商业银行面对风险冲击时可以更好地把控。因此,我国上市商业银行的风险溢出效应研究,对于维护金融体系稳定以及加大商业银行风险监管力度具有重要深远的现实意义。更多还原

【Abstract】 Based on 14 commercial banks from 2007—2018 weekly stock price,this article constructs the quantile regression model on the commercial banks systemic risk spillover effect.The VaR and CoVaR method analysis of the commercial banks systemic risk spillover had showed there are some systemic risk spillovers among listed commercial banks in China in the face of external risks and large state-owned commercial banks can better control risk spillovers.Therefore,the research on Risk Spillover Effect of listed commercial banks in China has far-reaching practical significance for maintaining the stability of financial system and improving the risk supervision of commercial banks.更多还原