/SummerProject

"The project titled 'Does Bank Vulnerability Impact the Firm-Level Crash Risk During Economic Stress Period?' was submitted as part of the fulfillment for the 3rd semester of the MSc in Big Data Analytics program at RKMVERI."

Primary LanguageJupyter Notebook

About

  • Title: Does Bank Vulnerability Impact The Firm-Level Crash Risk During Economic Stress Period?
  • A project report submitted for the partial fulfillment of the Master of Science in Big Data Analytics, RKMVERI, Belur Main Campus, Howrah.
  • Credit: Krishnakanta Maity, Reg No: B2130035, Department of Computer Science, RKMVERI, Howrah
  • Time Span: Aug'22 - Jan'23
  • Method Used: EDA Difference in Difference Regression Panel Data Regression DID Panel Data Regression
  • Programming Language: R, Python
  • Technology: Jupyter Notebook, R Studio, Latex

📒 Index

🔰 Introduction

This study aims to examine the relationship between bank vulnerability and firm-level crash risk in the Indian market during COVID period. The research will employ historical data and econometric methods to analyze the effect of bank-specific factors such as MES (Marginal Expected Shortfall) and firm-specific factors such as industry type on the crash risk of individual firms in India. By focusing on the Indian market, the study will provide a unique perspective on how bank vulnerability impacts firm-level risk in an emerging economy. The results of this study will offer valuable insights for policymakers, regulators, investors, and other stakeholders in understanding the transmission of financial stress from the banking sector to the real economy in India. The findings can also inform decisions on financial stability in the Indian market, especially during economic stress periods.

📁 File Structure

File structure of the project folder is given below. File names in each folder are self explanatory. For dependencies please go through requirements.txt.

.
├── data
├── img
|   ├── others
|   ├── plot
|   ├── results
├── literature
├── map_data (private)
├── notebook
|   ├── R and Jupyter Notebook
├── report
|   ├── result_model
├── README.md
└── requirements.txt

🌟 Credit/Acknowledgment

It is great pleasure for me to undertake this project. I am grateful to my project guide Prof. Prasenjit Chakrabarti, Assistant Professor of Department of Accounting and Finance, IIM Ranchi.