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.
Chen, Y., Lee, C. F., & Shi, Y. (2014). How the market judges bank risk? An empirical comparison between US and China. In Procedia Computer Science (Vol. 30, pp. 14–23). Elsevier B.V. https://doi.org/10.1016/j.procs.2014.05.376