How the market judges bank risk? An empirical comparison between US and China

Yibing Chen, Cheng Few Lee, Yong Shi

Research output: Contribution to journalConference articlepeer-review

Abstract

Since 2007-2008 subprime crises, banking risk determination becomes a very important indicator for banking regulator and banking manager. The main purpose of this paper is to use both single index and multi-index models to estimate banking risk for both US and Chinese banks. We find that Chinese commercial banks tend to expose them to more loans, therefore result higher systematic risk as suggested by estimated higher market betas.

Original languageEnglish (US)
Pages (from-to)14-23
Number of pages10
JournalProcedia Computer Science
Volume30
DOIs
StatePublished - 2014
Event1st International Conference on Data Science, ICDS 2014 - Beijing, China
Duration: May 27 2014May 28 2014

All Science Journal Classification (ASJC) codes

  • Computer Science(all)

Keywords

  • Bank risk
  • Empirical comparison
  • Market model
  • US and china

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