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Abstract This paper estimated banking systemic risk based on CoVaR measure discussed by Adrian and Brunnermeier（2009）. Our conclusions are: ① banking systemic risk has no linear relationship with its VaR.In China the four stateowned banks have most systemic risk.② CoVaR, VaR and nonperforming loans ratio are significant to predict future marginal systemic risk of banks.
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Received: 28 February 2011
Published: 31 December 2011
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