全球银行网络的尾部风险溢出实证分析

An Empirical Analysis of Tail Risk Spillover in Global Banking Networks

摘要: 本文基于2007年至2019年全球69家金融机构日收盘数据，采用CoVaR方法度量各个金融机构之间的尾部风险溢出效应，并建立有向加权尾部风险溢出网络。首先，从全局和区域的角度分析了该网络的风险溢出水平，当股票市场面临危机时，全局系统性风险溢出强度和跨区域系统性风险溢出强度均达最大值，同时跨区域的系统性风险溢出强度的结果表明，在平稳时期，风险倾向于在同一区域内部传播，但在遭遇危机时，风险倾向于跨区域传播。其次，构建系统性风险指数，在此基础上得出各金融机构风险接收与溢出的指数排名。研究发现美国银行、花旗银行、富国银行、巴克莱银行和汇丰银行常年具有较高的系统重要性，而系统性风险溢出强度结果表明招商银行，中国银行和工商银行的系统重要性正在逐年上升。

Abstract: Based on the daily closing data of 69 global financial institutions from 2007 to 2019, this paper adopts CoVaR method to measure the tail risk spillover effect among financial institutions, and establishes a directed weighted tail risk spillover network. First of all, this paper analyzes the network from the perspective of global and regional risk of overflow level, when the stock market is facing crisis, the total connectedness and the strength of cross sector reach the maximum, and the strength of cross sector results shows that in the stable period, risk tends to spread within the same area, but in a crisis, risk tends to spread across regions. Second, a systemic risk index is constructed, and on this basis, an index ranking of the risk acceptance and spillover of various financial institutions is obtained. The study found that Bank of America, Citibank, Wells Fargo, Barclays Bank and HSBC have high systemic importance throughout the year, and the results of systemic risk emitter indicate that the systemic importance of China Merchants Bank, Bank of China and Industrial and Commercial Bank of China is increasing year by year.