Analysing the systemic risk of Indian banks
Gazi Uddin () and
Economics Letters, 2019, vol. 176, issue C, 103-108
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.
Keywords: Systemic risk; Financial policy; Quantile regression (search for similar items in EconPapers)
JEL-codes: G01 G18 G32 C21 C51 C63 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:176:y:2019:i:c:p:103-108
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