This　article　constructs　bivariate　normal　copula　model　and　SJC-Copula　model　to　research　correlations　and　the　change　of　the　tail　correlation　in　different　periods　between　the　RMB　NDF　market　and　TWD　NDF　market,　and　then　the　key　analysis　is　risk　spillover　of　TWD　NDF　market　to　the　RMB　NDF　market　by　the　method　of　CoVaR.　The　empirical　results　show　that　two　markets　are　obviously　positive　correlation　in　the　early　stage　of　the　financial　crisis　and　during　the　financial　crisis,　but　the　empirical　results　also　show　that　along　with　the　expected　appreciation　of　the　RMB,　there　is　a　negative　correlation　between　the　two　markets　after　financial　crisis　especially　since　2011.The　correlation　degree　of　lower　tail　dependence　is　significantly　enhanced,　and　exists　obvious　spillover　effect　in　the　three　time　periods　especially　the　strongest　spillover　effect　during　the　financial　crisis.　©　2016,　Editorial　Board　of　Journal　of　Systems　Engineering　Society　of　China.　All　right　reserved.