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Updated: Aug 16, 2025

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Dynamic Banking Systemic Risk Accumulation under Multiple-Risk Exposures.

Hong Fan1, Miao Tang1

  • 1Glorious Sun School of Business and Management, Donghua University, Shanghai 200051, China.

Entropy (Basel, Switzerland)
|December 23, 2022
PubMed
Summary
This summary is machine-generated.

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This study reveals how multiple risks accumulate in China's banking system. Entity industry credit risk significantly impacts banking systemic risk, with risk accumulation slowing over time.

Area of Science:

  • Financial Economics
  • Risk Management
  • Systemic Risk Analysis

Background:

  • Existing research on banking systemic risk often overlooks multiple-risk exposures.
  • The banking system faces increasing complexity, necessitating dynamic measures for integrating diverse risks.

Purpose of the Study:

  • To construct a dynamic model for analyzing risk accumulation under multiple exposures in the banking system.
  • To integrate interbank lending, entity industry credit, and market risk exposures within a unified framework for the first time.
  • To evaluate the dynamic evolution and contribution of different exposures to banking systemic risk.

Main Methods:

  • Development of a dynamic banking system model using geometric Brownian motion, the Black-Scholes-Merton (BSM) model, and maximum likelihood estimation.
Keywords:
banking systemic riskentity industry credit riskinterbank lending market riskmarket riskΔCoVaR

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  • Application of the ΔCoVaR model to assess systemic risk in the China banking system.
  • Collection and analysis of extensive real-world data on banks, entity industries, and market risk factors.

    • Main Results:

    • Banking systemic risk in China exhibited an initial increase followed by a decrease, with a decelerating rate of risk accumulation.
    • Entity industry credit risk exposure was identified as the most significant contributor to banking systemic risk.
    • Specific banks (Bank of Communications, China Everbright Bank, Bank of Beijing) and industries (financial, accommodation/catering, manufacturing) were highlighted for their contributions to systemic risk.

    Conclusions:

    • The study provides a novel perspective on banking systemic risk by integrating multiple dynamic exposures.
    • Findings offer valuable insights into the interplay of different risk types and their impact on financial stability.
    • The research serves as a reference for central banks in making informed regulatory decisions.