Research On The Spillover Effect Of Credit Asset Securitization On The Systemic Risk Of Commercial Banks

In recent years,the uncertainty of world economic fluctuations has increased,and the banking crisis is becoming a global problem.Starting from the credit asset securitization business of commercial banks,this thesis analyzes the impact of credit asset securitization business on the systemic risk spillover value of commercial banks.First of all,by combing the relevant literature at home and abroad,understanding the research results related to this topic and summing up the marginal contribution and shortcomings of related research,this thesis establishes the ideas and methods of this study.Secondly,it analyzes the risk points in the process of credit asset securitization in theory,and explains the mechanism of action and transmission of the systemic risk of commercial banks caused by credit asset securitization.Thirdly,it helps to understand the development process and current situation of credit asset securitization in China,and provides relevant basis for subsequent empirical analysis.As the main body of this thesis,empirical analysis is divided into two parts : First,it quantifies the systemic risk spillover effect of a single commercial bank on commercial banks and describes its timing fluctuations;Secondly,using the quantitative results of the first part as the explained variable,the panel regression model is used to verify the role of commercial banks in credit asset securitization on systemic risk spillover.Finally,according to the results of empirical research,this thesis puts forward relevant suggestions on the development of credit asset securitization and systemic risk management of banking industry for commercial banks and regulators.Through empirical analysis,this thesis draws the following conclusions :(1)Bank spillover effect shows fluctuation characteristics.According to the ΔCoVaR and MES time series diagram,it is found that the systemic risk spillover value of commercial banks has three peak periods,which are in 2015,2018 and 2021.These three periods correspond to the 2015 stock market crash,the Sino-US trade war and the outbreak of the new coronavirus.(2)The systemic risk spillover value of large commercial banks is smaller than that of joint-stock banks and city commercial banks.The commercial banks with large spillover value are Bank of Ningbo,Bank of Nanjing,Ping An Bank,Industrial Bank,China Merchants Bank and China CITIC Bank.(3)Credit asset securitization has a positive effect on the systemic risk spillover effect of commercial banks.As the participation of credit asset securitization increases,the systemic risk spillover of commercial banks will also increase.(4)Credit asset securitization accumulates systemic risks mainly through large commercial banking channels.As the scale of credit asset securitization business carried out by joint-stock banks and city commercial banks is small,the systemic risk spillover effect of these commercial banks is not significant.