Digital Transformation and Systemic Risk in Chinese Commercial Banks: Dynamic and Conditional-Effect Analyses

Using an unbalanced panel of 200 Chinese commercial banks over 2010–2021, this study measures systemic risk using market-based marginal expected shortfall (MES) for listed banks and SVM-completed MES for non-listed banks. Two-way fixed-effects, distributed-lag, conditional-effect, heterogeneity, and endogeneity analyses indicate that overall digital transformation is associated with lower systemic risk. Strategic and management digitalization reduce risk, whereas business digitalization is associated with contemporaneous adjustment pressure. The negative effect of overall transformation emerges mainly in later periods, is stronger for banks with greater asset-side risk-bearing capacity, stronger interbank funding dependence, and lower profitability, and is more pronounced among nationwide banks than regional banks. The findings clarify how digital transformation can support banking-system stability while informing the balance between financial innovation and prudential regulation.