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- W3208247064 endingPage "101670" @default.
- W3208247064 startingPage "101670" @default.
- W3208247064 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." @default.
- W3208247064 created "2021-11-08" @default.
- W3208247064 creator A5000142575 @default.
- W3208247064 creator A5034348529 @default.
- W3208247064 creator A5067524393 @default.
- W3208247064 date "2021-12-01" @default.
- W3208247064 modified "2023-10-06" @default.
- W3208247064 title "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures" @default.
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