Systematic Risk Measurement in Chinese Bank before and after Financial Crisis

摘要：

Jhis paper estimates the systematic risk with panel data from Chinese bank. By introducing two-index market model, beta coefficient is used to measure the systematic risk of bank. Empirical results show that the systematic risk of non-state-owned banks is higher than state-owned banks. The Chinese bank industrys reform is to optimum capital structure, improve risk management, and innovate products and services in facing the shocks from Basel III.

关键词： bank systematic risk idiosyncraticRisk

作者: QinSong Rotlg Song KaiHu

作者单位: Xiamen International Bank, Xiamen University, Xiamen, 361001, China School of Politics and Laws, Huazhong Normal University Wuhan, 430079, China Wuhan police,Bureau Public Security,Wuhan, 430080, China

会议类型: 国际会议

会议名称: The Fourth International Joint Conference on Computational Science and Optimization(第四届计算科学与优化国际大会 CSO 2011)

会议地点: 昆明、丽江

会议语种:英文

页码: 446-449

在线出版日期: 2011-04-15（万方平台首次上网日期，不代表论文的发表时间）