关键词: Vine Copula SCCA半参数模型, 包商银行, 区域性商业银行, 银行系统性风险

Abstract: This paper is aimed to study the impact of risk exposure of regional commercial banks such as Baoshang Bank on the systemic risk of listed banks in China. We propose a semi-parametric Vine Copula SCCA model, which builds the distribution of joint expected losses of the overall banking industry and three major categories of banks based on the data of China’s listed banks from 2013 to 2019. We further calculate their joint expected losses as a measure of systemic risk. The new model combines R-Vine Copula function and semi-parametric modeling with relaxing the assumptions about risk dependence structure and marginal distribution of the traditional SCCA model, as well as improving the adaptability of systemic risk measurement of domestic banking and thus the new model is able to measure the evolutionary features of the banking systemic risk more scientifically. Our results show that the semi-parametric Vine Copula SCCA model captures the potential risk exposure implied by Baoshang Bank’s twice-delayed disclosure of annual report and being taken over and thus can better describe the evolution of systemic risk than the traditional SCCA model. This paper gives a better systemic risk measurement model, and provides theoretical support and practical basis for the high-quality development, risk prevention and control, regulatory policy formulation of regional commercial banks in China.

Key words: Semi-parametric Vine Copula SCCA Model, Baoshang Bank, Regional Commercial Banks, Banking Systemic Risk