Author(s)

Tianyue Lu

Corresponding Author

Tianyue Lu

ABSTRACT

From the perspective of risk spillovers and contagion, this paper constructs a ΔCoVaR model to measure the systemic risk of commercial banks in China. The result shows that the ΔCoVaR index better describes the risk spillovers effect of China’s commercial banking systemic, and the ΔCoVaR index has a certain correlation with the real world economy, therefore has a better warning significance. Furthermore, this paper explores the influencing factors of the systemic risk of China’s commercial banks through panel regression analysis. The results show that bank leverage ratio, logarithmic value of bank market value, bank’s maturity mismatch and bank’s market-to-book value ratio have significant impact on the systemic risk of financial banks.

KEYWORDS

Risk spillovers; Panel regression; ΔCoVaR model