Systemic Risk Assessment: Aggregated and Disaggregated Analysis on Selected Indian Banks

Table 1

List of banks and macrostate variables.

Public banks	Public banks market capitalization in Rs	Symbols
State Bank of India	2727.73 billion	SBI
Punjab National Bank	23.478 billion	PNB
Bank of Baroda	38.452 billion	BOB
Private banks	Market capitalization in Rs
HDFC Bank	5605.4 billion	HDFC
ICICI Bank	2128.7 billion	ICICI
AXIS Bank	1643.59 billion	AXIS
Macrostate variables	Description
Global risk	VIX is an implied volatility (IV) measure of investor fear gauge derived from S&P 500 options	VIX
Market risk	Indian stock market risk derived from implied volatility measure of nifty 50 options price	IVIX
Exchange rate volatility	Realized volatility measure of USD/INR exchange rate calculated	EV
Liquidity spread	Weighted average call rate - RBI repo rate captures the liquidity stress among banks	LIS

; here, is the change in the exchange rate and is a window of 10 days.