Research on the credit risk contagion effect of commercial banks is a key issue in credit risk management of commercial banks. This paper constructs a measurement framework for the credit risk contagion effect of commercial banks based on the Copula function theory. On the basis of selecting the appropriate Copula function and measuring specific parameters, taking Bank of China and Industrial and Commercial Bank of China as examples, the tail correlation coefficient was used to measure the credit risk contagion effect of the two banks, and relevant conclusions were drawn.
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Guangyao Li (2024) studied this question.
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