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.
Analysing the systemic risk of Indian banks
Bekiros S.
2019-01-01
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.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
