The Impact Of Loan Concentration And Systemic Risk Spillover Of Commercial Banks

In the process of economic globalization,the financial industry is a pivotal link in our economic development.Maintain its stability is the key to keep high-quality economic development.As the most important part of the financial industry,the banking industry,to maintain its stability is the necessary condition for the stability of the financial industry.The profit of the bank mainly depends on the interest rate difference between deposit and loan,and the loan business accounts for the largest proportion of the income of the commercial bank.herefore,optimizing the allocation of credit resources can improve the profitability of the bank and increase the current assets at the same time,give banks a degree of resilience.But in recent years,commercial banks have become increasingly keen to channel loans to a small number of high-quality customers,high-ietum industries and highly developed regions because of their profit-seeking nature.This leads to the unbalanced allocation of credit resources,increasing the risk of commercial banks.But once a customer,a certain industry,a certain area of risk lead to a large area of bad debts,because commercial bank loans are too concentrated,can not spread the risk,it is easy to lead to commercial bank risk.When the risk of a commercial bank occurs,the risk spreads to the whole banking system and even the whole financial system through the systemic risk spillover effect,which leads to the occurrence of systemic risk.The report of the 19th National Congress mentioned the strategic goal of taking precautions against and defusing major risks,and resolutely guarding the bottom line of avoiding systemic risks.The maintenance of banking stability is the most important component of the protection against systemic risk.herefore,in the post-covid-19 era and under the new concept of economic development,this paper studies the impact of loan concentration on the spillover effect of systemic risk of commercial banks to prevent the spread of systemic risk through spillover effect,the financial crisis.This paper is divided into six parts.Part Ⅰ:Introduction.This part introduces the research background and significance of the paper,according to the domestic and foreign review of the relevant literature,introduce the content of this study and the use of research methods.At the same time,it points out the innovation and deficiency of this paper.Part Ⅱ:Our Country Commercial Bank loan concentration degree and the system risk overflow outline.This part mainly introduces the meaning of loan concentration degree and its three sub-concepts of industry,region and customer concentration degree,and expounds the causes and current situation of loan concentration degree.At the same time,the concept,characteristics and causes of systemic risk spillover are introduced.Part Ⅲ:the impact of loan concentration on systemic risk and risk spillover.This part mainly introduces the contagion mechanism of loan concentration on the systemic risk spillover effect of commercial banks,and analyzes the impact of customer,industry and region concentration on the systemic risk spillover effect.Part Ⅳ:Measuring the loan concentration and systemic risk spillover of commercial banks in China.Select the measurement method and measure the customer,industry andregional loan concentration.This paper measures the systemic risk spillover effect of commercial banks by using quantile regression-based static CO VAR model and dynamic CoVaR model.Part Ⅴ:the empirical analysis of the impact of loan concentration on systemic risk spillover.The paper selected the 2021 listed commercial banks from 2016 to 2021 as the core sample and introduced the control variables to conduct a regression analysis on the relationship between loan concentration and the systemic risk spillover effect of commercial banks,this paper analyzes the impact of loan concentration on the systemic risk spillover effect of commercial banks.Part six:making suggestions.According to the conclusion of the impact of loan concentration on the spillover effect of commerical banks systemic risk,this paper puts forward some reasonable policy suggestions.The paper draws the following empirical conclusions:the regional concentration and customer concentration are positively correlated with the systemic risk spillover effect of commercial banks,that is,the higher the regional concentration and customer concentration,the higher the regional concentration and customer concentration are,the greater the systemic risk spillover effect of commercial banks.There is a negative correlation between the degree of industry concentration and the systemic risk spillover effect of commercial banks,that is,the lower the degree of industry concentration,the greater the systemic risk spillover effect of commercial banks.In the static CO VAR model,the effect of the bank’s own risk level on the risk spillover under its extreme conditions is more than half,and the type of commercial bank can not determine the level of the risk spillover effect,that is,we can not judge the level of the systemic risk spillover effect of commercial banks by the state-owned banks,joint-stock banks or city commercial banks.In the dynamic COVAR model,the influence of risk level of state-owned commercial banks on systemic risk spillover is above average,and some joint-stock commercial banks and city commercial banks also have significant rist spillover to the banking system.Through the regression model,we can know that the net ratio of stock market of commercial banks has a positive effect on the risk spillover effect of commercial banks,and the coverage ratio of provision has a negative correlation with the risk spillover effect of commercial banks,however,the asset size and GDP growth rate of commercial banks have no significant impact on the risk spillover effect of commercial banks.Based on relevant factors,this article gives the following suggestions.first,we should improve the loan concentration legal supervision system.Second,the credit management mode of banks should be changed.Third,we must improve the external environment.Fourth,improve the measurement of systemic risk and early warning.Fifth,strengthen the identification and supervision of systemically important banks.Sixth,a combination of micro and macro prudential regulation.