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Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures

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  • Pham, Thach N.
  • Powell, Robert
  • Bannigidadmath, Deepa

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.

Suggested Citation

  • Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001773
    DOI: 10.1016/j.pacfin.2021.101670
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    15. Wided Khiari & Salim Ben Sassi, 2019. "On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the △CoVaR Measures," Risks, MDPI, vol. 7(4), pages 1-15, December.
    16. Dissem, Sonia & Lobez, Frederic, 2020. "Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk," Research in International Business and Finance, Elsevier, vol. 51(C).
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    More about this item

    Keywords

    Systemic risk; Asian emerging markets banking sector; Systemically important banks; Market-based measures;
    All these keywords.

    JEL classification:

    • E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

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