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A Study of Bank System Systemic Risk under the Default Shock of
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TitleA Study of Bank System Systemic Risk under the Default Shock of  
AuthorFang Yi  
OrganizationSchool of Finance, Central University of Finance and Economics 
Key WordsReal Estate Market; Common Assets Holdings; Indirect Interdependence Financial Network; Systemic Risk Indicators 
AbstractBased on indirect interdependence network model with commercial banks’ common assets holdings, this paper constructs multiple systemic risk indicators, attribute them to some fundamental factors, and thereby study the systemic risk of China’s banks under the shock of the default of the real estate market loans. The results show that: (1) The banks’ direct risk shows a downward trend under the shock, while the systemic risk increases during these years. The Large Commercial Banks and China Merchants Bank are the systemic important banks. Individual housing mortgage loan is the systemic important asset. Huaxia Bank, Guangdong Development Bank and China Merchants Bank are the systemic vulnerable banks. (2) The systemic risk of the banking system is closely related to its asset structure and asset size. A single bank’s systemic importance is affected mainly by its asset size, but exogenous shocks and asset structure is showing more impact. A single bank’s systemic vulnerability is affected mainly by its leverage before 2011 and by its asset structure factor after 2011. An industry loan’s systemic importance is determined by its loan size. To further verify this model’s rationality and explore how systemic risk generates, we analyze banks’ systemic risk in the following conditions: when we consider the correlation of the asset price in fire-sale, under different haircut rates, under different loss ratios, and under defaults by different banks. 
Serial NumberWP945 
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