Abstract: The purpose of finance is to serve the real economy. As the complexity of the relationship between finance and real industries increases, it is more difficult to prevent and resolve systemic financial risks. For this regard, this paper builds an endogenous bank-enterprise credit network risk contagion model, takes the listed enterprises from 2013 to 2022 as research samples, identifies the systemic importance and vulnerability under the“finance-entity”dual dimension, and evaluates the role of the banks and the entity industry with heterogeneous ownership in the cross-institutional, cross-industry and cross-sector contagion of systemic financial risks, so as to provide a new micro perspective for preventing and solving systemic financial risks. The findings are as follows: first, state-owned banks and joint-stock banks are of great importance, while urban commercial banks and rural commercial banks show high vulnerability. Second, the stronger the contagion and infectivity of banks and physical industries, the stronger their susceptibility to infection, showing the overall “spiral accumulation rise”characteristics. Thirdly, the cross sectoral transmission of systemic financial risks between physical industries and heterogeneous ownership banks exhibits an asymmetric effect of “positive same order, reverse different order”. Fourthly, since 2020, the impact of the banking sector on systemic financial risk has been less than 50%, and the importance of the physical sector in systemic financial risk has increased. Therefore, in the process of preventing systemic financial risks, it is necessary to attach importance to the differences in the ownership of banks, pay attention to the positive feedback mechanism between risk absorption and contagion, focus on the disorder of reverse contagion of risks, and include the real sector in the scope of supervision of systemic financial risks.

Key words: systemic financial risk, systemic importance, vulnerability identification, risk contagion