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

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

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.

Suggested Citation

  • Mohammed Arshad Khan & Preeti Roy & Saif Siddiqui & Abdullah A. Alakkas & Baogui Xin, 2021. "Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks," Complexity, Hindawi, vol. 2021, pages 1-14, July.
    • Handle: RePEc:hin:complx:8360778
    DOI: 10.1155/2021/8360778
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    Cited by:

    1. Mohammad Asif & Mohammed Arshad Khan & Hamad Alhumoudi & Mohammad Wasiq, 2023. "Examining the Role of Self-Reliance, Social Domination, Perceived Surveillance, and Customer Support with Respect to the Adoption of Mobile Banking," IJERPH, MDPI, vol. 20(5), pages 1-19, February.
    2. Mohammed Arshad Khan & Vivek & Syed Mohd Minhaj & Mohd Afzal Saifi & Shahid Alam & Asif Hasan, 2022. "Impact of Store Design and Atmosphere on Shoppers’ Purchase Decisions: An Empirical Study with Special Reference to Delhi-NCR," Sustainability, MDPI, vol. 15(1), pages 1-24, December.
    3. Mohammed Arshad Khan & Faisal Alhathal & Shahid Alam & Syed Mohd Minhaj, 2023. "Importance of Social Networking Sites and Determining Its Impact on Brand Image and Online Shopping: An Empirical Study," Sustainability, MDPI, vol. 15(6), pages 1-22, March.
    4. Guohua Liu & Mohammed Arshad Khan & Ahsanuddin Haider & Moin Uddin, 2022. "Financial Development and Environmental Degradation: Promoting Low-Carbon Competitiveness in E7 Economies’ Industries," IJERPH, MDPI, vol. 19(23), pages 1-16, December.
    5. Mohammed Arshad Khan & Hamad A. Alhumoudi, 2022. "Performance of E-Banking and the Mediating Effect of Customer Satisfaction: A Structural Equation Model Approach," Sustainability, MDPI, vol. 14(12), pages 1-12, June.

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