| Banking industry occupies a very important position in the financial market,and its risk directly affects the risk status of the whole financial system.The difficulty of one commercial bank will lead to the increase of risks of other commercial banks,which will lead to the rise of systemic financial risks.The transaction network of the inter-bank market becomes the infectious carrier of systemic financial risks,leading to the further spread of risks in the banking system.Therefore,this paper starts from the perspective of risk contagion and uses network structure to study the systemic risk of Chinese commercial banks.First of all,this paper defines the systemic risk and contagion risk of banks,discusses the theoretical basis,and summarizes the literature related to the measurement method of systemic risk,the inter-bank network structure,and the channel of contagion of bank systemic risk in the network structure.This paper also analyzes the current situation of systemic risk contagion in Chinese banking industry.Firstly,it selects some regulatory indicators to analyze the overall risk status of Chinese banking industry,then analyzes the risk status of the inter-bank market,and finally focuses on analyzing the current situation of systemically important banks and individual banks.The empirical study selects the stock trading data of 33 listed banks from 2007 to 2021,calculates the systemic risk of commercial banks based on the KMV model,calculates the risk contagion weight of commercial banks based on the VARX-L model and Page Rank algorithm,and uses the estimated data in 2020 and 2021 to simulate the risk contagion path of banks.Finally,the following conclusions are drawn.First,the economic environment is severe,during the financial crisis,our banking default risk rose.Through KMV model to measure the default risk of listed commercial banks,it is found that the change trend of default risk of Chinese commercial banks has convergent characteristics.During the severe economic environment,the banking default risk rises.Second,bank size is not the main determinant of contagion risk.The bank contagion weight calculated by VARX-L model and Page Rank algorithm shows that no commercial bank has significantly higher risk contagion weight than other commercial banks.The scale of a bank is not the main factor determining the size of the contagion risk.The risk contagion weight of a large commercial bank is not necessarily high,and the possibility of becoming a "risk point bank" is not necessarily high.The risk contagion weight of city commercial banks is on the rise as a whole,so attention should be paid to the contagion risk of middle and small city commercial banks.Third,small and medium-sized commercial banks will become the initiation point and endpoint of contagion risk due to their extensive transaction correlation.However,small and medium-sized commercial banks have a low probability of causing other interbank banks to generate contagion risk even if they become the initiation point of contagion risk due to their small scale.On the contrary,small and medium-sized commercial banks will be affected by the risks of other large commercial banks and become the terminal point of contagion risk.Finally,this paper puts forward countermeasures and suggestions from the two aspects of commercial banks and financial regulators,in order to provide reference for the systemic risk management of China’s banking industry. |
