Abstract: | Using China''s ex-2016 listed commercial banks as samples, this paper calculates systemic risks VaR. On the whole, China''s banking system has a low systemic risk, whereas the VaR in 2015 is relatively high. Empirical study shows that China''s commercial banks have hold enough capital to absorb systemic risk. As to the contribution of systemic risks VaR, this paper shows that SPD Bank, Bank of China, Agricultural Bank of China and Communication Bank of China stands for the most. Besides, systemic risks VaR is significantly affected by GDP growth rate and the return of HS300. |