The Research On Banking Systemic Risk Based On The Bipartite Network

The outbreak of the United State financial crisis in 2008 has led countries to recognize the dangers of systemic risks.After the crisis,governments have actively explored management measures for preventing financial systemic risk in line with their national conditions.In 2017,the report of 19 th CPC National Congress defined that: " implement the financial supervision system and ensure no systemic financial risk".At the central economic working conference in December of 2017,President Xi emphasized that China should do a good job in " preventing and defusing financial risks " during 2018.Bank is the core of the entire financial system while business loans assets are an important part of bank assets in China.At present,the theoretical and practical studies which aim at systemic risk of loan industry asset are still deficient.Accordingly,it is practically significant for safety and stability of the whole financial system to study the systematic risk of loan industry asset within the framework of macro-prudential regulation.Based on the background above,this paper selected the bank industry loan data from 2012 to 2017,and built a stress-test model to measure the banking systemic risk of bank loan industry in China within the framework of macro-prudential regulation.The impact on the banking system was analyzed from two dimensions and five scenarios: initial impact strength,asset depreciation,bank asset size,bank panic and infection time.The analysis results show that: First,China's banking sector is highly sensitive,and the state of the bank may change sharply between stable and unstable states.Moreover,the risk spillover effect due to the banking systemic risk often plays a role in the initial stage under the combined influence of the asset depreciation coefficient and the initial impact strength,while the systemic risk of the banking industry will gradually be decreasing with the implementation of various regulatory policies and treatment measures and the influence from gradual adjustment and adaptation of various types of banks.Second,although the size of bank assets is not the dominant factor which affects the systemic risk,its role is related to the asset depreciation coefficient.Moreover,due to the significant differences between different levels of banks,the risk diversification and resistance of the loan industry asset network has been reduced,which has aggravated the fragility of China's banking system.Third,After the formation of systemic risks,the leverage ratio of banks has lost the role of restraining the accumulation of systemic risks,and instead has become an “accelerator” for the contagion of systematic risk.In order to measure the status of the sample banks in the system better,this paper further established the systemically importance bank indicators and systemically vulnerability bank indicators which could be concluded as the systemically important bank ranking and the systemically vulnerability bank ranking.After analysis,the following results can be concluded: First,"too big to fall" : the systemically importance of the four state-owned banks are high enough that the systemic risk will spread rapidly when risk spill from a state-owned bank.Second,the key that a bank can survive in systemic risk is not the size of the asset,but the healthy asset structure.Third,the level of China's banks is obvious,and the rural commercial banks are in the most vulnerable part of the risk contagion process.