 Systemically important banks in Asian emerging markets: Evidence from four systemic risk measuresThach N. Pham, Robert Powell and Deepa Bannigidadmath Pacific-Basin Finance Journal, 2021, vol. 70, issue C Abstract: This paper examines the domestic systemically important banks and regional systemically important banks in Asian emerging markets using four major market-based measures: (i) Delta conditional value at risk, (ii) Marginal expected shortfall, (iii) SRISK, and (iv) Component expected shortfall. We find that, first, the four systemic risk measures lead to consistent assessments in relation to the systemic risk contributions of both large and small banks at the regional level but not at the country level. Second, at the Asian regional level, most of the top 10 systemically important banks are large banks operating in China. The results also provide evidence of the similarities and significant correlations in the relative rankings of individual banks among the measures. Third, at the country level, the similarities and correlations in the relative rankings of individual banks vary across countries. The results imply that the identification of systemically important banks based on a single measure should be used cautiously. Keywords: Systemic risk; Asian emerging markets banking sector; Systemically important banks; Market-based measures (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001773 DOI: 10.1016/j.pacfin.2021.101670 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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