The Empirical Study Of Chinese Commercial Bank System Risk Contagion Based Matrix Method

In recent years, a number of financial crisis cause the systemic. risk of commercial banks for concern, so national financial regulators pay more attention to the risk research and control of the commercial bank systemic. "Contagion effect" has become the synonymous of systemic risk in the banking crisis, which reveals the essential characteristics of the banking crisis. With the development of the banking sector, interbank markets have become more and more active. On the one hand, the healthy operation of the inter-bank lending market will increase the bank’s liquidity, improve the efficiency of the banking system; on the other hand, the bank’s risk also exposes directly in the interbank market, once a single bank fails, its debt relationship banks are very vulnerable to contagion, the asset is easily lost and even insolvency.This paper selected 16 listed banks as the research object, based on the interbank market, studied the risk of systemic contagion effect. Using the listing of the banks’ balance sheets to obtain interbank placements of capital borrowed sum, and the sum of the matrix method model to obtain the risk of interbank positions matrix, then create contagion effects model, studied the risk of contagion effect Study found that in low LGD, it’s difficult to cause a "domino" type of chain reaction by just a single bank’s failure, the banking system assets suffered losses but will not collapse. In high LGD, a single bank’s business failure is apt to cause a "domino" type of chain reaction, the banking system assets will suffer a huge loss. However, in high LGD, not all banks’ failure will lead to the "domino" reaction, some small banks is not enough to lead to the multiple rounds of contagion effects, and some large-scale banks will lead to serious the risk of infection shocks. A combination of theoretical and empirical research methods is used in this paper, get the specific process and asset losses of inter-bank systemic risk infection, and give some recommendations of commercial bank of systemic risk prevention and control, provide appropriate reference for better control of systemic risk of infection and strengthen the supervision.