Systematic Risk Measurement in Chinese Bank Before and After Financial Crisis

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.