中文摘要：

随着金融自由化程度的不断提高,金融系统在分散风险和促进资金自由流动的同时也加大了风险的传染性和破坏性。文章采用我国16家上市商业银行的日度收盘价数据,结合GARCH-混合Copula-CoVaR模型对其风险溢出效应进行定量估计。与仅采用单一的Copula方法相比,混合Copula更能够捕捉到市场在不同状态下单个机构与金融系统之间的相关性。研究结果表明,在横截面维度上,＂四大＂国有银行在我国银行体系中处于系统重要性地位,同时股份制商业银行民生银行、中信银行和交通银行在测量结果中处于相对重要的地位,也需要引起金融监管者的高度重视;在时间维度上,到2015年,随着我国股票市场出现的剧烈震荡,银行业系统性风险呈上升趋势,对此监管者需要制定相应政策以防发生系统性风险。

英文摘要：

With the development of financial liberalization, financial system plays an important role in risk diversification and funding liquidity, while at the same time accelerates risk contagion and spillover. This paper makes use of the daily close price of the 16 listed commercial banks to es- timate their risk spillover based on GARCH-Copula-CoVaR model. Compared to using single Copu- la, Mixed Copula have advantages in capturing the correlation between individual financial institu- tion and the financial system under different circumstances. The results show that in the cross sec- tional analysis, the big four state-owned banks are systemic important in China＇s banking system, meanwhile some joint-stock commercial banks such as China Minsheng Bank, China CITIC bank and the Bank of Communications are relatively systemic important, and thus the regulators＇ high attention should be paid to these facts. In a time series view, the systemic risk of banking sector a- rises with the volatility of China＇s stock market when entering 2015, which calls for regulators pro- posing corresponding policies to mitigate systemic risk. All these conclusions provide empirical sup- port for China Banking Regulatory Commission to make macroprudential policies.