Complexity

Research Article

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

Table 3

Quantile regression for public banks as dependent variables.

All

SBI

PNB

BOB

50%

VIXR

−0.0263

−0.1114

−0.0345

−0.0132

−0.0018

0.03515

−0.0573

−0.0028

−0.1288

−0.0687

0.00572

[0.764]

[0.0131]

[0.299]

[0.744]

[0.535]

[0.867]

[0.689]

[0.026]

−0.0028

[0.077]

[0.104]

[0.6667]

IVIXR

−0.3517

−0.1023

−0.0459

−0.0287

−0.0137

−0.0264

−0.1033

0.00552

[0.798]

−0.0521

−0.0361

−0.0077

[0.0007]

[0.101]

[0.233]

[0.5593]

[0.639]

[0.055]

[0.302]

[0.871]

−0.0049

[0.511]

[0.453]

[0.6231]

LIS

0.00299

0.00593

0.0426

−0.0137

−0.0043

0.01053

0.01713

−0.0011

[0.703]

0.00369

−0.0122

0.0109

[0.963]

[0.736]

[0.00]

[0.183]

[0.771]

[0.182]

[0.783]

[0.918]

0.01504

[0.949]

[0.596]

[0.0534]

−0.1907

−0.3186

0.07396

−0.0794

−0.0881

0.01474

−0.0703

0.0392

[0.00]

0.10297

−0.0812

0.01372

[0.5959]

[0.307]

[0.431]

[0.6963]

[0.419]

[0.737]

[0.821]

[0.7654]

0.0086

[0.612]

−0.0812

0.01372

HDFCR

0.06409

−0.0602

−0.0674

−0.0154

−0.0104

−0.0079

−0.1956

−0.0708

[0.864]

0.14081

[0.274]

[0.7203]

[0.8743]

[0.298]

[0.098]

[0.9418]

[0.773]

[0.692]

[0.759]

[0.1058]

−0.0302

[0.236]

[0.936]

[0.271]

CICIR

0.9612

0.6442

1.13743

0.08966

0.3337

0.44183

0.54585

0.19772

[0.00]

0.18777

0.29623

0.39278

[0.001]

[0.0015]

[0.00]

[0.4279]

[0.0007]

[0.00]

[0.075]

[0.0706]

0.39047

[0.028]

[0.068]

[0.00]

AXISR

0.6243

1.34703

0.88783

0.50759

0.3489

0.22658

0.11802

0.40582

0.30159

0.2209

0.34423

0.27859

[0.094]

[0.00]

[0.00047]

[0.0002]

[0.00]

[0.685]

[0.0003]

[0.00]

[0.151]

[0.0376]

[0.00]

Note. The symbols , , and denote the significance level at 1%, 5%, and 10%, respectively. Values in square brackets represent the values for the QR coefficients.