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Ma, Lei (2020) Research on Systemic Risks’ Spillover Effects of China’s Commercial Banks under COVID-19. [Dissertation (University of Nottingham only)]

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Abstract

During the financial crisis in 2008, under the influence of the domino effect, multinational banks were significantly impacted by systemic risks, which had a negative impact on the real economy of various countries. At present, the global outbreak of the COVID-19 makes many countries face systemic risks again. It shows the importance of macro-prudential supervision of systemic risk, and the premise of adequate supervision of systemic risk is to measure the risk spillover effect accurately. By studying the measurement of systemic risk, regulators can judge the degree of risk spillover of China's banks in the event of COVID-19 to strictly control the banks with large risk spillovers and better prevent systemic risks.

Based on summarizing the research results at home and abroad, this paper summarizes the definitions of systemic risk, the characteristics, causes, and transmission channels of systemic risk. Based on the GARCH-CoVaR model, this paper empirically analyzes 14 representative listed commercial banks in the Shanghai stock market. Besides, this paper also puts forward some practical suggestions for banks to prevent systemic risks during the COVID-19.

The empirical results show that China's listed banks have a risk spillover effect during the COVID-19 period. According to the VaR index, the value at risk of large state-owned commercial banks is generally lower than that of joint-stock banks and city commercial banks. However, from the CoVaR index perspective, large state-owned commercial banks' impact on the banking system is far more significant than that of some joint-stock banks and city commercial banks.

Item Type:	Dissertation (University of Nottingham only)
Keywords:	listed commercial banks; systemic risk; GARCH model; CoVaR
Depositing User:	MA, Lei
Date Deposited:	21 Dec 2022 14:07
Last Modified:	21 Dec 2022 14:07
URI:	https://eprints.nottingham.ac.uk/id/eprint/62011

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