Tail risk network analysis of Asian banks

Authors

Thach N. Pham, Edith Cowan UniversityFollow
Robert Powell, Edith Cowan UniversityFollow
Deepa Bannigidadmath, Edith Cowan UniversityFollow

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

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

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.