Abstract: Influenced by the international financial crisis and financial globalization in recent years, the research on the systemic risk of the financial system has become a hot topic. Existing related researches mainly focus on direct contagion channel of interbank market ("bank-to-bank"), while, the indirect contagion channel of "bank-asset-bank" is relatively little. Moreover, the research on systematic risk of Chinese banking system and quantitative investment strategy of banks based on the bilateral network has not been studied yet. Therefore, based on the bank-asset bipartite network model (there are two types of nodes:bank node and asset node, and the bank-asset bipartite network is constructed by the asset portfolio of each bank), the systemic risk and investment strategy of banks are analyzed in this paper. Firstly, the bank-asset bipartite network model of Chinese banking system is constructed by using 47 listed banks' balance sheet data in 2018, to study the systemic risk when each asset class is shocked. All five categories of banks (state-owned large-scale commercial banks, joint-stock commercial banks, urban commercial banks, rural commercial banks, and policy banks) except foreign banks in the Chinese banking market have been covered in the 47 listed Chinese banks used in this paper, and all listed banks in China are basically covered. The data comes from the balance sheet in the 2018 annual reports disclosed by each bank, including the total assets, total liabilities and detailed asset portfolio data of each bank. In this paper, the assets of each bank are finally divided into five categories based on their investment attributes and income types, namely, cash, interbank assets, financial investment, loans, and other asset classes. Then, the systemic shock is introduced, and the investment strategy model is constructed by setting up two classes of assets with different attributes and generating four shock events (in the investment strategy model, assets are divided into two categories:low-risk and low-return, high-risk and high-return; four kinds of systemic shocks are formed by the combination of "profit" or "loss" events of the two categories of assets). The impact of changes in the proportion of different assets invested by banks on the systemic risk of banks are studied to explore the banks' optimal investment strategy. Research results show that external shocks and price-cut selling effects, which are the two factors of the systemic risk, will produce a superposition effect at a certain interval value, causing a sharp increase in the systemic risk; the loan assets are found to be most sensitive to external shocks; the asset portfolios of all banks that have not failed under all of asset shocks have certain similarities; further research finds that there is an optimal asset portfolio in the banking system, which enables banks to obtain maximum returns while maintaining stability, and the greater the asset-liability ratio, the stronger their risk tolerance, and the more aggressive investment strategies can be chose to pursue high returns. The role of external shocks and price-cut selling effects is found, which provides a certain reference for the related research of the systemic risk under the bank-asset bilateral network. The research also shows that the bank's investment portfolio has a significant impact on the systemic risk of the bank, which is helpful to the bank's investment decisions and the risk monitoring of the relevant regulatory authorities. The actual data of Chinese listed banks are used for empirical analysis, which provides a reference for the Chinese banking industry to deal with external risks and asset price fluctuations.

Key words: bank-asset bipartite network, systemic risk, external shock, price-cut selling effect, investment strategy