The Research On The Systematic Risk Of Commercial Banks Based On The Model Of Interbank Market Network

With the continuous innovation of financial instruments,the relationship between financial institutions has becomed increasingly complex,and the financial system has becomed the most vulnerable part of the modern economy.The research on the systematic risk of commercial banks is of great significance in preventing the formation and spread of financial risks and ensuring the stable operation of our country's economy and society.This paper uses the relevant datas in the annual reports of 63 commercial banks in 2016 to construct a systematic risk analysis framework for commercial banks based on the theory of interbank lending networks.It not only uses the core-periphery structure model and node strength indicators to analyze the structure of the interbank lending network,but also evaluates the risk contagion effect caused by the failure of a single bank under different network structure and different risk contagion conditions,measures the systemic risk and determines the system importance bank.Finally,uses the negative binomial regression model to explore the influencing factors of systematic risk of commercial banks,and puts forward some corresponding policy recommendations.Through research,it is found that:(1)China's commercial banks' interbank lending network presents the core-periphery network structure characteristics.State-owned banks and most joint-stock banks are at the core of the banking network.(2)The risk contagion effect in the interbank lending network is generally small,and the commercial banks have stronger defense risk capabilities;the traditional risk contagion evaluation conditions underestimate the impact transmission effect in the interbank lending network;compared with the fully connected network,the incomplete network structurally induced systemic risks are greater.(3)ICBC is the most systematically important bank in the interbank lending network,followed by China Construction Bank and Industrial Bank;both urban commercial banks and rural commercial banks do not have risk conductivity,but are risk-prone banks.(4)The type of bank,asset size,capital adequacy,risk exposure,and income structure are the main factors affecting the systemic risk of the bank.The research results of this paper provide a reference basis for effective risk prevention of government departments and have important theoretical and practical significance.