中文摘要：

基于我国12家上市商业银行2007～2012年的周股票价格波动,构建了商业银行系统性风险溢出效应的分位数回归模型,并在分位数估计的基础上,运用VaR、CoVaR技术对12家商业银行的系统性风险溢出进行了计量。分析结论和程序运算结果均证实了我国上市商业银行系统性风险溢出效应的存在,特别在危机冲击时期,各商业银行系统性风险溢出效应的大小和方向对于金融系统的稳健运行均有重要影响。因此,建立商业银行危机冲击的系统性风险测度系统、维护商业银行的风险监管制度对于保持银行业的稳健运行具有重要意义。

英文摘要：

Based on 12 commercial banks from 2007-2012 weeks 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 hanks systemic risk spillover had proved the significant of the risk spillover of China commercial banks. Especially, during the crisis shock period, the scale and direction of the systemic risk spillover of the commercial banks had an important effect to the stable of the financial system. Therefore, the establishment of the supervision of the commercial hank crisis system and the risk measure system are very important to the stable of financial system.