Research Article
Domestic Systemically Important Banks: A Quantitative Analysis for the Chinese Banking System
Table 14
Changes of lower tail-dependence coefficients (the European debt crisis).
| | | ICBC | CCB | BOCOM | ABC | BOC | Big 5 | Big 8 |
| | BBJ | −4.52% | 1.20% | −14.57% | −16.37% | −21.89% | −6.84% | −4.90% | | HXB | −9.34% | −7.05% | −9.40% | −21.19% | −19.58% | −12.60% | −8.33% | | CMBC | −11.14% | −4.14% | −11.04% | −20.74% | −12.31% | −9.38% | — | | BNJ | −7.49% | −6.27% | −22.23% | −26.50% | −25.13% | −14.64% | −14.63% | | BNB | −34.52% | 2.36% | −27.34% | −23.33% | −28.25% | −25.19% | −19.67% | | SDB | −28.73% | −12.60% | −18.84% | −31.79% | −32.10% | −23.38% | −18.34% | | SPDB | 3.57% | 16.17% | −3.00% | −8.18% | −9.55% | 1.60% | 4.07% | | IBC | −14.77% | 1.28% | −9.12% | −17.90% | −19.11% | −12.08% | — | | CMB | −0.03% | 7.23% | −3.21% | −7.68% | −5.74% | −1.61% | — | | CITIC | −15.54% | −14.66% | −17.87% | −27.62% | −26.82% | −18.22% | −16.75% |
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