目录中文摘要.........................................................1ABSTRACT.......................................................2一、前言.........................................................3（一）研究背景与意义....................................................................................31．研究背景................................................................................................32．研究意义................................................................................................3（二）研究方法................................................................................................3（三）文献综述................................................................................................31．国外文献................................................................................................42．国内文献................................................................................................4（四）研究思路与结构....................................................................................5二、实证分析的相关模型与方法.....................................6（一）随机时间序列分析模型........................................................................61．自回归模型（AR）..............................................................................62．移动平均模型（MA）.........................................................................63．ARMA模型...........................................................................................6（二）GARCH类模型.....................................................................................71．ARCH模型............................................................................................72．GARCH模型.........................................................................................73．非对称GARCH模型............................................................................7（三）VaR方法................................................................................................8（四）CoVaR方法...........................................................................................8三、数据选取与统计性检验.........................................9（一）样本选择与数据处理............................................................................9（二）数据的统计性检验..............................................................................101．描述性统计..........................................................................................102．平稳性检验..........................................................................................123．相关性检验..........................................................................................144．ARCH效应检验..................................................................................16四、商业银行系统性风险的实证分析................................17（一）VaR的测算与分析..............................................................................17（二）CoVaR的测算与分析..........................................................................181．银行系统CoVaR.................................................................................182．各银行CoVaR.....................................................................................20结论与不足............................
