| dc.contributor.author | VERMA, Ramprasad | |
| dc.contributor.author | AHMAD, Wasim | |
| dc.contributor.author | UDDIN, Gazi Salah | |
| dc.contributor.author | BEKIROS, Stelios D. | |
| dc.date.accessioned | 2020-02-10T16:09:15Z | |
| dc.date.available | 2020-02-10T16:09:15Z | |
| dc.date.issued | 2019 | |
| dc.identifier.citation | Economics letters, 2019, Vol. 176, pp. 103-108 | en |
| dc.identifier.issn | 0165-1765 | |
| dc.identifier.issn | 1873-7374 | |
| dc.identifier.uri | https://hdl.handle.net/1814/66128 | |
| dc.description | Available online 15 January 2019 | en |
| dc.description.abstract | 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. | en |
| dc.description.sponsorship | Research and Development, Indian Institute of Technology Kanpur [IITK /HSS /2015086] | en |
| dc.language.iso | en | |
| dc.publisher | Elsevier Science Sa | en |
| dc.relation.ispartof | Economics letters | en |
| dc.rights | info:eu-repo/semantics/openAccess | en |
| dc.subject | Systemic risk | en |
| dc.subject | Financial policy | en |
| dc.subject | Quantile regression | en |
| dc.title | Analysing the systemic risk of Indian banks | en |
| dc.type | Article | |
| dc.identifier.doi | 10.1016/j.econlet.2019.01.003 | |
| dc.identifier.volume | 176 | |
| dc.identifier.startpage | 103 | |
| dc.identifier.endpage | 108 | |
| eui.subscribe.skip | true | |
