Research on Banking Systemic Risk Under the Complex Network of Bank-Enterprise Credit——Based on the Perspective of High-Carbon Industries
Under the pressure of carbon emission reduction,the endogenous"trans-formation risk"of low-carbon transformation of high-carbon enterprises may be-come a"green swan"event that leads to the next systemic financial risk.Based on the bank-enterprise loan data of 14 high-carbon industries from 2013 to 2022,this paper firstly adopts the"bank-enterprise"binary network method and takes the ex-pected default rate of high-carbon enterprises as the risk contagion intensity index to measure the risk transmission path of"bank-enterprise"vertically.It is found that the scale of the network between banks and enterprises is expanding year by year,and the tail risk is mainly concentrated in the chemical industry,which is mainly borne by joint-stock commercial banks.Secondly,using the"bank-bank"mapping network method,the risk transmission path of"bank-bank"is measured horizontally by taking the common risk exposure among banks as the index of risk contagion intensity.It is found that urban commercial banks and rural commercial banks are becoming systemically important banks,and their risk bearing is more and more prominent.Large state-owned commercial banks themselves export large inter-bank tail risks,which are crucial to the spread or defense of risks.Finally,based on the systemically important banks and risk infectious banks selected by complex networks,the dynamic CoVaR method is used to measure the systemic risk contribution strength of the tail overflow,and comprehensively capture the"bottom-up risk measurement logic"between the risk of high-carbon enterprises and financial institutions,so as to provide a realistic basis for the regulatory author-ities to build"top-down risk supervision logic".Under the"Carbon Peak and Car-bon Neutrality"strategy,special credit support policies should be introduced to promote the implementation of energy conservation and emission reduction in key industries,and differentiated management and comprehensive risk assessment should be carried out based on the overall"bank-enterprise"credit network,and a new perspective of tail risk in high-carbon industries should be introduced into the linked variables of the counter-cyclical buffer capital regulatory framework.
High-carbon IndustriesBanking Systemic RiskComplex Network of Bank-Enterprise CreditTopological StructureDynamic CoVaR
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