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

Table 5

Summary of time-varying VaR estimates.

VaR of public banks			VaR of private banks
	5%	50%		5%	50%
SBI			HDFC
Median	−0.07145	0.00021	Median	−0.04033	0.0047
Mean	−0.08017	−0.0007	Mean	−0.07718	0.00489
Std dev	0.02113	0.02113	Std dev	0.01699	0.01699
PNB			ICICI
Median	−0.0823	0.00056	Median	−0.0597	0.002234
Mean	−0.08967	−0.0017	Mean	−0.0687	0.002627
Std dev	0.02438	0.0244	Std dev	0.02904	0.029036
BOB			AXIS
Median	−0.07512	0.00071	Median	−0.06764	0.001845
Mean	−0.08337	0.00025	Mean	−0.07525	0.002456
Std dev	0.02345	0.02344	Std dev	0.02655	0.02655