With the outbreak of the conflict between Russia and Ukraine, the study of financial risks under the tail event has become the mainstream. This paper selected eleven commercial banks in China as research objects, and used the TVP-VAR risk spillover index model to study the risk contagion effect among commercial banks in China. The results show that compared with other commercial banks, the risk spillover and spillover strength between state-owned commercial banks is larger. Compared with the Ukraine crisis, Sino-US trade friction has a greater impact on the market risk spillover effect of commercial banks, and the overall spillover index shows a significant jump upward trend. The smaller the comprehensive volume and scale of commercial banks, the more vulnerable they are to risk spillover from other commercial banks in the whole market risk spillover network of commercial banks, and they become the commercial banks with the greatest risk spillover intensity.

Huang Huicong. Research on the risk contagion effect between commercial banks in China under tail risk events. Academic Journal of Business & Management (2023) Vol. 5, Issue 21: 103-111. https://doi.org/10.25236/AJBM.2023.052115.

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