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《Journal of Changsha University》 2013-05
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Systemic Risk Measurement of Commercial Banks in China Based on Principal Components Analysis

GAI Xi;QIAO Longwei;School of Finance,Anhui University of Finance & Economics;  
This paper measures the systemic risk of commercial banks in China based on principal components analysis,which employs the ROE data of listing commercial banks from the fourth quarter of 2007 to the first quarter of 2013.The results show that the systemic risk was at a high level during the financial crisis,then it decreased after the government took countermeasures and climbed weakly in vibration since 2010.
【CateGory Index】: F832.33;F224
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【Citations】
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