Analysis of China Commercial Banks’ Systemic Risk Sustainability through the Leave-One-Out Approach

摘要: One of the main issues in recent Chinese financial reform is aimed at effectively measuring systemic risk and taking appropriate measures to ensure its sustainability prevent new crises. In this paper, we firstly introduced present macro-prudential policies implied China pointed out existing problems. Secondly, analyzed banks’ assets riskiness probability default, then, by means a leave-one-out model, measured each commercial bank contribution. Thirdly, based on comprehensive empirical results theoretical analysis, provided some references for regulation supervision. Results show that increasing 2013–2017, particular with reference contagion risk, specific concentration within joint-stock banks, suggesting attention regulators supervisors category.