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

Table 13

Lower tail-dependence coefficients after the European debt crisis.

	ICBC	CCB	BOCOM	ABC	BOC	Big 5	Big 8
BBJ	0.472	0.541	0.636	0.513	0.475	0.606	0.653
CEBB	0.460	0.521	0.620	0.488	0.475	0.578	0.634
HXB	0.462	0.515	0.642	0.490	0.484	0.585	0.648
CMBC	0.473	0.493	0.548	0.436	0.437	0.552	—
BNJ	0.395	0.470	0.511	0.427	0.413	0.502	0.555
BNB	0.342	0.446	0.579	0.401	0.401	0.488	0.550
SDB	0.520	0.614	0.709	0.537	0.532	0.658	0.712
SPDB	0.462	0.548	0.677	0.531	0.495	0.606	0.670
IBC	0.518	0.554	0.709	0.565	0.544	0.648	—
CMB	0.453	0.512	0.633	0.490	0.474	0.582	—
CITIC	0.472	0.541	0.636	0.513	0.475	0.606	0.653