我国上市商业银行系统性风险传染效应研究

gainst the backdrop of global financial risk resonance and China\'s bank-dominated financial system, the issue of systemic risk contagion among institutions has become a key threat to financial stability. This paper takes 42 listed commercial banks from 2020 to 2024 as the research objects, constructs a dynamic threshold risk association network based on the financial fragility theory, uses MES (Marginal Expected Shortfall) to quantify the marginal contribution of individual banks to systemic risk, constructs the network by combining the Pearson correlation coefficient matrix and the median threshold method to discover risk transmission laws, and introduces a two-way fixed effects model to verify the correlation between key node attributes and risk contribution. The study finds that various listed commercial banks exhibit differences in the network. The empirical analysis then verifies the reinforcing effect of key node attributes on risk transmission. Finally, Monte Carlo simulation stress testing reveals that the banking system experiences widespread risk resonance under extreme market fluctuations, with joint-stock banks being particularly vulnerable. Therefore, it is necessary to strengthen differentiated supervision, providing theoretical support for the "one category, one policy" macroprudential supervision, and offering theoretical basis and practical references for improving China\'s macroprudential policy system and preventing cross-market risk resonance.