Based on the improved Greenwood et al. (2015) model, this paper studies China’s banking systemic risk caused by cross-border lending. The results show that: (1) Under the impact of cross-border lending, the systemic risk is mainly determined by the asset side’s shock, and China’s banking systemic risk has four stage characteristics. (2) Systemic risk is affected by risk exposure, institutional asset size, leverage and indirect correlation, and these factors play different roles in different shocks and different stages. As an external shock, the risk exposure is less important than the internal characteristic factors such as the scale of institutional assets and indirect correlation. (3) The increase of systemic risk caused by cross-border lending can lead to adverse changes of macroeconomic variables in the future, and the systemic risk’s index is effective.