Complexity

Research Article

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

Table 4

Quantile regression for private banks as dependent variables.

All

HDFC

ICICI

AXIS

50%

VIXR

0.07843

−0.0506

−0.0083

0.2732

−0.0258

−0.0161

−0.1053

−0.0611

−0.0405

[0.0039]

−0.0483

−0.0359

[0.828]

[0.6206]

[0.00]

[0.401]

[0.382]

[0.032]

[0.00]

0218]

[0.0039]

[0.088]

[0.0003]

IVIXR

−0.3474

−0.1023

−0.0459

−0.0287

−0.0118

−0.0121

0.0263

−0.068

0.00002

[0.00]

−0.0485

−0.0008

[0.266]

[0.238]

[0.7192]

[0.298]

[0.809]

[0.234]

[0.652]

[0.0295]

[0.998]

[0.00]

[0.0411]

[0.951]

LIS

−0.3108

−0.0933

−0.0071

−0.3327

−0.0364

0.0026

0.01713

−0.0351

−0.0283

−0.0523

0.00309

[0.1808]

[0.308]

[0.6091]

[0.377]

[0.418]

0.3062]

[0.391]

[0.0511]

[0.2773]

[0.415]

[0.0501]

[0.651]

−0.2238

−0.3332

0.03727

0.54919

−0.1555

0.02313

−0.3725

−0.0813

[0.00]

−0.2936

−0.0856

−0.0058

[0.8104]

[0.263]

[0.4787]

[0.695]

[0.1518]

[0.549]

[0.331]

[0.629]

[0.7846]

[0.014]

[0.0004]

[0.863]

SBIR

2.156

1.4501

1.20135

0.91724

−0.14069

0.2513

0.77996

0.6937

0.5626

0.5324

0.48083

0.3974

[0.076]

[0.0008]

[0.00]

[0.508]

[0.445]

[0.00]

[0.000]

[0.00]

PNBR

−1.1854

−0.1199

0.2317

−0.6989

0.05965

0.03705

−0.2767

−0.0127

0.0702

−0.0717

0.1345

0.1091

[0.3201]

[0.732]

[0.0008]

[0.591]

[0.712]

[0.262]

[0.029]

[0.914]

[0.025]

[0.548]

[0.286]

[0.014]

AXISR

0.57456

0.54222

0.284

−0.1529

0.16617

0.02083

0.15933

0.17664

0.1072

0.22417

0.10979

0.1416

[0.6197]

[0.1527]

[0.0003]

[0.923]

[0.251]

[0.559]

[0.163]

[0.148]

[0.0037]

[0.036]

[0.263]

[0.0019]

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.