Commercial Bank Credit Risk Contagion Research

In 2008,the global financial turmoil challenged the study of the endogenous mechanism of systemic risk.One of the keys is to study the endogenous mechanism of credit linkages.Does risk diversification through credit linkages among commercial banks necessarily reduce the systemic risk of bank credit networks?On the one hand,credit linkages can disperse risks,on the other hand,make it possible for credit risk contagion.Is there any difference in the contagiousness of credit risk among different types of commercial banks in China?In order to further study the above problems,this paper first introduces the theory of financial accelerator,that is,the negative change of financial robustness of commercial banks,which may lead to more stringent credit conditions imposed on them by related credit banks,and consequently lead to the sustained negative change of financial robustness of the banks themselves.Based on this dynamic factor,this paper constructs a dynamic model of credit risk of a single commercial bank.Secondly,the rule network graph of credit relationship between banks is established based on complex network theory,and the dynamic influence of financial conservatism of related credit banks on financial conservatism of target commercial banks is analyzed.Then,the credit risk contagion model of commercial banks introducing financial accelerator theory into complex network is constructed by combining the above two dynamic factors.Finally,the relationship between default of commercial banks and financial conservatism is analyzed.The impact of financial conservatism of UniCredit Bank determines the stable state of the scale of systemic default,so as to build a systemic default model of credit risk contagion in the bank credit network.Combining the above-mentioned credit risk contagion model of commercial banks and seepage theory in physics,the probability of systemic default of bank credit network is obtained by mathematical optimization algorithm.This paper classifies our commercial banks into state-owned commercial banks,small and medium-sized commercial banks and city commercial banks.Based on the credit risk contagion model of commercial banks,this paper uses the data of 25 listed commercial banks in China to simulate and analyze the default probability of different types of commercial banks under different risk dispersion degree.By studying the probability of commercial banks infected with credit risk under different financial conservatism mean conditions,it proves that the scale of systemic default of bank credit network is stable.Based on the systemic default model,this paper makes a comparative analysis of the credit risk contagion of different types of commercial banks in homogeneous credit network,and simulates the systemic default probability of commercial banks in heterogeneous network under different risk dispersion.The results show that there is a U-shaped functional relationship between the systemic risk of the banking system and the connectivity of the bank credit network.In the highly connected homogeneous bank credit network,the contagiousness of the credit risk of the city commercial banks is strong,while the contagiousness of the credit risk of the state-owned commercial banks and the small and medium-sized commercial banks is relatively weak.