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Estimating the Systemic Risk of China’s Banking Industries based on Merton Model |
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PP: 957-964 |
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Author(s) |
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Yajie Wang,
Xiaoliang Shan,
Junqiong Geng,
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Abstract |
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| Banks are linked increasingly, one can adjust the capital surplus and deficiency, but also increases the risks of default
between banks. The individual bank’s loss will be through a linkage effects to other banks. This effect can significantly increase the risk
of banking industry. This paper, from the asset price transmission angle, elaborated the formation mechanism of bank systemic risk and
calculated China’s banking systemic risk using the data of 2007-2011 of Chinese listed banks. The results show default correlations
exist among asset price of inter banks and different types of banks have a crisis of infectious to the other banks but contagion degree is
different. |
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