Domestic Systemically Important Banks: A Quantitative Analysis for the Chinese Banking System

Table 12

Lower tail-dependence coefficients before the European debt crisis.

	ICBC	CCB	BOCOM	ABC	BOC	Big 5	Big 8
BBJ	0.494	0.534	0.745	0.613	0.608	0.651	0.687
CEBB	0.507	0.561	0.684	0.619	0.591	0.662	0.692
HXB	0.520	0.537	0.721	0.618	0.552	0.646	0.686
CMBC	0.511	0.527	0.704	0.593	0.583	0.646	—
BNJ	0.603	0.460	0.703	0.557	0.576	0.672	0.691
BNB	0.480	0.510	0.713	0.587	0.591	0.637	0.673
SDB	0.502	0.529	0.731	0.585	0.588	0.647	0.684
SPDB	0.542	0.541	0.745	0.647	0.612	0.689	0.731
IBC	0.518	0.517	0.732	0.612	0.577	0.659	—
CMB	0.537	0.599	0.771	0.677	0.647	0.712	—
CITIC	0.506	0.495	0.697	0.631	0.615	0.643	0.672