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Systematic Risk Measurement in Chinese Bank Before and After Financial Crisis

机译:金融危机前后中国银行的系统风险度量

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摘要

This 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 industry's reform is to optimum capital structure, improve risk management, and innovate products and services in facing the shocks from Basel III.
机译:本文利用中资银行的面板数据估计了系统性风险。通过引入两指标市场模型,使用贝塔系数来衡量银行的系统风险。实证结果表明,非国有银行的系统风险高于国有银行。中国银行业的改革是优化资本结构,改善风险管理以及创新产品和服务,以应对巴塞尔协议三的冲击。

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