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

Table 6

Summary of time-varying CoVaR estimates.

CoVaR of public banks				CoVaR of private banks
	1%	5%	50%		1%	5%	50%
SBI				HDFC
Median	−0.05014	−0.05182	−0.0021	Median	−0.06288	−0.06409	0.01997
Mean	−0.05516	−0.05609	−0.00114	Mean	−0.07048	−0.07595	0.01785
Std dev	0.04379	0.03162	0.01665	Std dev	0.06133	0.088085	0.25186
PNB				ICICI
Median	−0.05395	−0.05337	−0.00098	Median	−0.04621	−0.04466	0.004288
Mean	−0.06401	−0.06342	−0.0037	Mean	−0.05365	−0.05233	0.001625
Std dev	0.053387	0.05328	0.04391	Std dev	0.055012	0.054234	0.05466
BOB				AXIS
Median	−0.05168	−0.05044	0.001654	Median	−0.05102	−0.04996	0.00639
Mean	−0.05591	−0.05545	0.006376	Mean	−0.05772	−0.05642	0.00647
Std dev	0.041145	0.040391	0.09052	Std dev	0.05106	0.05085	0.04956