Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures

Abstract This paper examines the domestic systemically important banks and regional systemically important banks in Asian emerging markets using four major market-based measures: (i) Delta conditional value at risk, (ii) Marginal expected shortfall, (iii) SRISK, and (iv) Component expected shortfall. We find that, first, the four systemic risk measures lead to consistent assessments in relation to the systemic risk contributions of both large and small banks at the regional level but not at the country level. Second, at the Asian regional level, most of the top 10 systemically important banks are large banks operating in China. The results also provide evidence of the similarities and significant correlations in the relative rankings of individual banks among the measures. Third, at the country level, the similarities and correlations in the relative rankings of individual banks vary across countries. The results imply that the identification of systemically important banks based on a single measure should be used cautiously.