Title: Impact of COVID-19 on systemic risk for Indian financial institutions

Authors: Subhash Karmakar; Gautam Bandyopadhyay; Dragan Pamucar; Jayanta Nath Mukhopadhyaya; Sanjib Biswas

Addresses: Department of Management Studies, National Institute of Technology, Durgapur, 713209, West Bengal, India ' Department of Management Studies, National Institute of Technology, Durgapur, 713209, West Bengal, India ' Faculty of Organizational Sciences, University of Belgrade, 11000, Serbia ' Finance Area, Army Institute of Management, West Bengal 700135, India ' Department of Management Studies, National Institute of Technology, Durgapur, 713209, West Bengal, India

Abstract: This paper studies differential impact of COVID-19 on systemic risk during different phases of lockdown on the financial institutions in India. We use SRISK as a measure of systemic risk and study three categories of financial institutions viz., public sector banks (PSBs), private sector banks and non-banking financial companies (NBFCs). We use Kruskal-Wallis test for examining the difference in the SRISK parameter for the three categories of financial institutions considered in this paper and observe significant difference. We have also estimated the Spearman correlations between the Indian volatility index (VIX) and SRISK across the three categories of financial institutions. The PSBs are foremost in risk contribution compared to private banks and NBFCs but they are not affected by market volatility index as compared to their counterparts, on the other hand medium and small sized PSBs have performed well as compared to large PSBs. Based on the result it is inferred that the month of April 2020-June 2020 (lockdown period) had the most significant increase in systemic risk.

Keywords: systemic risk; SRISK; COVID-19; NBFC; banks; financial institutions; volatility index; VIX.

DOI: 10.1504/IJADS.2023.134203

International Journal of Applied Decision Sciences, 2023 Vol.16 No.6, pp.686 - 716

Received: 18 May 2022
Accepted: 14 Jun 2022
Published online: 13 Oct 2023 *

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