Proceedings of the 2025 4th International Conference on Mathematical Statistics and Economic Analysis (MSEA 2025)

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Research on Systemic risk of Commercial Bank Based on Quantile Regression CoVaR Model

Authors
Haowen Fang1, *, Rengui Zhang2
1School of Economics, Shenzhen Polytechnic University, Shenzhen, Guangdong, China
2Audit Bureau of Pingshan District, Shenzhen, Guangdong, China
*Corresponding author. Email: sysufanghw@126.com
Corresponding Author
Haowen Fang
Available Online 20 February 2026.
DOI
10.2991/978-94-6463-992-6_51How to use a DOI?
Keywords
Commercial bank; Systemic risk; GARCH model; Quantile regression CoVaR model
Abstract

This paper uses the yields of 16 listed commercial banks from December 2009 to December 2017 as sample data. The GARCH model and the quantile regression method are used to measure the risk level VaR of each bank, and further use the quantile condition to calculate the impact of the risk spill level of the sample bank on the banking industry. The results show that, on the one hand, the risk level of state-owned commercial banks is generally lower than that of joint-stock banks and city commercial banks, and the probability of systemic risk is not high; on the other hand, under the premise that the cumulative probability of systemic risks is low, The degree of influence of state-owned commercial banks on the entire banking system and even the financial system when systemic risks broke out was higher than that of joint-stock banks and city commercial banks.

Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2025 4th International Conference on Mathematical Statistics and Economic Analysis (MSEA 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
20 February 2026
ISBN
978-94-6463-992-6
ISSN
2352-5428
DOI
10.2991/978-94-6463-992-6_51How to use a DOI?
Copyright
© 2026 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Haowen Fang
AU  - Rengui Zhang
PY  - 2026
DA  - 2026/02/20
TI  - Research on Systemic risk of Commercial Bank Based on Quantile Regression CoVaR Model
BT  - Proceedings of the 2025 4th International Conference on Mathematical Statistics and Economic Analysis (MSEA 2025)
PB  - Atlantis Press
SP  - 545
EP  - 557
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-992-6_51
DO  - 10.2991/978-94-6463-992-6_51
ID  - Fang2026
ER  -