Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks

Mohammed Arshad Khan, Preeti Roy, Saif Siddiqui, Abdullah A. Alakkas and Baogui Xin

Complexity, 2021, vol. 2021, 1-14

Abstract: Exposure of the banking system to the Global Financial Crisis attracted attention to the study of riskiness and spillover. This paper studies the pattern of systemic risk and size effect in the Indian banking sector. Based on market capitalization, three public sector banks and three from the private sector were taken. Data are taken from the year 2007 to 2020. The analysis is done through quantile-CoVaR  (Conditional Value at Risk) and TENET (Tail-Event-Driven Network) measure. State variables like Indian market volatility and global risk measures negatively influence the Indian banks’ returns. Liquidity risk is a crucial aspect of private banks. Public banks experience public confidence even in the distress period. Large banks like HDFC and SBI bank offer the highest degree of systemic risk contribution. The role of private banks in transmitting systemic risk has been intensifying since 2015. Small-sized banks like PNB and BOB have become significant receivers and transmitters of risk.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:8360778

DOI: 10.1155/2021/8360778

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