Author(s)

Zhu Ziyao ¹, He Yican ¹, Zhang Youzi ¹

Affiliation(s)

¹ School of Insurance and Economics, University of International Business and Economics, Beijing, China

Corresponding Author

Zhu Ziyao

ABSTRACT

The problem of systemic risk contagion within the banking industry has always been the trigger of major financial crises. The bankruptcy of Silicon Valley Bank in March 2023 has brought a huge systemic crisis to the world banking industry, making the analysis of systemic risk of banks a major issue to be solved urgently. The existing researches on risk contagion mechanism have limited explanatory ability. Therefore, this paper introduces the comprehensive risk management theory to analyze the core factors of systemic risk transmission among banks. By constructing the indicators of unrealized loss, risk expectation, maturity allocation and deposit stability in SVB and American banking industry, it is found that the lack of deposit stability is the core factor of systemic risk contagion caused by SVB bankruptcy in American banking industry. Therefore, this paper proposes that attention should be paid to the control of high-interest deposit-taking behavior of small and medium-sized banks in order to avoid operational risk, strengthen macro-policy guidance and optimize the structure of long-term deposit liabilities.

KEYWORDS

COSO-ERM Framework, Commercial Banks, Systemic Risk

CITE THIS PAPER

Zhu Ziyao, He Yican, Zhang Youzi , The Use of ERM in Systemic Risk Analysis in Banking: Take Silicon Valley Bank's Bankruptcy as an Example. Financial Engineering and Risk Management (2023) Vol. 6: 17-27. DOI: http://dx.doi.org/10.23977/ferm.2023.061103.

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