Document Type
Journal Article
Publication Title
Global Finance Journal
Volume
62
Publisher
Elsevier
School
School of Business and Law
RAS ID
70418
Funders
Australian Government
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.
DOI
10.1016/j.gfj.2024.101017
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 License.
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