关键词: 网络模型 , 压力测试 , 系统性风险 , 房地产贷款 , 地方政府融资平台贷款

Abstract: Based on the traditional financial network model, this paper introduces the mechanism of bank deleveraging and fire sale which can be used to analyze two macroeconomic shocks on the systemic risk of banks industrial system In the perspective of the stress tests about the default of real estates loans, this paper finds that contagion risk arising from the default of real estates loans is the crucial source of systemic risk The contagion loss ratio and deleveraging times show that the contagion risk of Chinas banks was highest in 2007, then it rapidly decreased The results of parameters sensitivity analyses demonstrate that fire sale is less relatively important than deleveraging in the network model for the contagion risk, and bankruptcy is less than fire sale The second test which is about the default of local government financing platforms (LGFP) loans shows that large commercial banks (LCBs) is less affected by LGFPs loans than jointstock commercial banks (JSCBs) and city commercial banks (CCBs) Additionally, this paper finds that there exists a probability default (PD) threshold When LGFPs loans PD is above the threshold, banks losses and bank failure numbers increase sharply The last test which is about the single bank failure highlights the advantages of this papers network model compared with the traditional network model In addition, the test shows that the mismatch between systemic importance and systemic vulnerability is very crucial for Chinas stable financial system.

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