Identification and Analysis of Risk Spillover Effect of Commercial Banks in China

This paper constructs the Delta Conditional Value at Risk (ΔCoVaR) model based on the traditional Value at Risk (VaR) model to measure the systematic risk and spillover effect of the stock price of China’s commercial banks. According to the data of listed commercial banks in China from 2006 to 2021, this paper finds that the ΔCoVaR index is a good description of the risk spillover effect of the banking system in China, and the ΔCoVaR index is in good agreement with the actual economic performance in different stages in China, which has good practical significance.