Date: 2019
Type: Article
Analysing the systemic risk of Indian banks
Economics letters, 2019, Vol. 176, pp. 103-108
VERMA, Ramprasad, AHMAD, Wasim, UDDIN, Gazi Salah, BEKIROS, Stelios D., Analysing the systemic risk of Indian banks, Economics letters, 2019, Vol. 176, pp. 103-108
- https://hdl.handle.net/1814/66128
Retrieved from Cadmus, EUI Research Repository
This paper adopts the Tail-Event driven NETwork (TENET) risk model to assess the systemic risk of Indian banks. Building upon the Value at Risk (VaR), Conditional Value at Risk (CoVaR) and a Single Index Model (SIM) in a generalized quantile regression framework, the results suggest that the Indian banks exhibit high interconnectedness during the crisis period. The results also identify the systemically important banks and explain the banking networks. (C) 2019 Elsevier B.V. All rights reserved.
Additional information:
Available online 15 January 2019
Cadmus permanent link: https://hdl.handle.net/1814/66128
Full-text via DOI: 10.1016/j.econlet.2019.01.003
ISSN: 0165-1765; 1873-7374
Publisher: Elsevier
Keyword(s): Systemic risk Financial policy Quantile regression
Sponsorship and Funder information:
Research and Development, Indian Institute of Technology Kanpur [IITK /HSS /2015086]
