Based on the daily stock closing price data of 14 domestic commercial banks and internet finance index from 2013 to 2019, the quantile regression CoVaR model was used to study the two-way risk spillover effect between internet finance industry and state-owned banks, joint-stock banks and city commercial banks. The results show that: first, city commercial banks have the highest risk, and the risk for internet finance does not differ from that for city commercial banks. State-owned banks have the lowest risk. Second, there is a two-way asymmetric positive spillover between Internet finance and various types of commercial banks, and each commercial bank has a stronger risk spillover effect on Internet finance. Third, by comparing and analyzing the risk spillover values between the three types of commercial banks and Internet finance, it is found that the two-way risk spillover effect between Internet finance and city commercial banks is the strongest. Fourth, the size of banks is not the main criterion to determine the risk spillover intensity. The risk spillover effect between Internet finance and city commercial banks may be underestimated.