Systemic Risk and Systemically Important Financial Institutions of China's Bank Section-an Analysis Based on CCA and DAG
用CCA和DAG方法，从时间和截面两个维度分析中国商业银行的系统性风险，发现系统性违约距离能反映银行部门风险，危机期间风险最高且危机后也需关注，同时信用风险关联性、网络地位和规模是重要风险因素。
Based on CCA and DAG,this paper analyzes the systemic risk of China's commercial banks and systemically important financial institutions(SIFIs) from both time dimension and cross- sectional dimension.The empirical results indicate that:the systematic distance to default(DD) can reflect well the systemic risk in China's banking sector,which contributes to the implementation of counter- cyclical macro- prudential supervision j the systemic risk of bank sector is highest during the crisis and also worth attention after the crisis.The results also show that the interconnectedness of credit risk,the status in the network and size are important systemic risk factors for institutions.