Abstract

This study aims to investigate the tail risk dependence of individual banks in Asian emerging markets. Using value at risk and conditional value at risk to measure tail risk and employing the least absolute shrinkage and selection operator regression to build the network, this study analysed interconnectedness at three levels: system-wide, country level and individual bank level. This study yields three key findings. First, banks in Asian emerging markets have a notably high tail risk network, particularly during more extreme market conditions. Second, the smaller and more interconnected banks are the most systemically important in the region, rather than the largest banks. Third, the time-varying results suggest that tail risk dependence, primarily attributed to cross-country connectivity, increased after the global financial crisis but has decreased in recent years.

RAS ID

70418

Document Type

Journal Article

Date of Publication

9-1-2024

Volume

62

Funding Information

Australian Government

School

School of Business and Law

Creative Commons License

Creative Commons Attribution 4.0 License
This work is licensed under a Creative Commons Attribution 4.0 License.

Publisher

Elsevier

Comments

Pham, T. N., Powell, R., & Bannigidadmath, D. (2024). Tail risk network analysis of Asian banks. Global Finance Journal, 62, 101017. https://doi.org/10.1016/j.gfj.2024.101017

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Link to publisher version (DOI)

10.1016/j.gfj.2024.101017