CHANGE IN SYSTEMIC RISK IN INDIAN FINANCIAL MARKET DURING COVID-19 PANDEMIC

Author (s) : Mrs.A.S.Renugadevi

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Abstract :
To assess the level of systemic risk in the Indian financial market during the Covid era, the research used an economic model of systemic risk provided by Acharya (2016). It is based on marginal expected shortfall (MES), which measures how likely it is for a financial institution to lack adequate capital when the financial sector as a whole lacks it. The study empirically compares the MES of NIFTY 50 financial firms for the pre-covid year 2019–20 and the covid year 2020–21 and finds that, compared to the pre–covid year 2019–20, the undercapitalization of Indian financial firms increased by three times. As a result, systemic risk increased during the covid year. The outcome is further corroborated by daily Stock Return Correlations of Financial Firms, a straightforward and reliable.

Keywords : Covid, Indian financial market.

Conference Date : 13/11/2020

Pages : 321

Paper ID : 20321