Title :
Systematic Risk Measurement in Chinese Bank Before and After Financial Crisis
Author :
Song, Qin ; Song, Rong ; Hu, Kai
Author_Institution :
Xiamen Int. Bank, Xiamen Univ., Xiamen, China
Abstract :
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.
Keywords :
banking; econometrics; economic cycles; risk management; Chinese bank; beta coefficient; financial crisis; nonstate-owned banks; optimum capital structure; product innovation; risk management; state-owned banks; systematic risk measurement; two-index market model; Data models; Economic indicators; Electronic mail; Finance; Indexes; Stock markets; Systematics; bank; idiosyncratic Risk; systematic risk;
Conference_Titel :
Computational Sciences and Optimization (CSO), 2011 Fourth International Joint Conference on
Conference_Location :
Yunnan
Print_ISBN :
978-1-4244-9712-6
Electronic_ISBN :
978-0-7695-4335-2
DOI :
10.1109/CSO.2011.249
