Abstract
This paper examines the firm-level driving factors of the systemic risk in the Chinese banking system. To more accurately estimate the systemic risk, we take asymmetric and fat-tailed financial returns into consideration. Our empirical results reveal that the Chinese banks' systemic risk contribution reached the highest level during the stock market crash in 2015. The panel regression results imply that banks' size, leverage, loans, non-performing loans and demand deposits positively drive their systemic risk contribution, and ROA, loan-loss provisions and time deposits shows a negative relationship. Moreover, individual bank's VaR increase its systemic risk contribution, which means that the riskier individual bank contributes more to the systemic risk. The forward-looking role of the firm-level factors can potentially be used for macro-prudential regulation.
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