The riskiness of banks (public and private) and non-banking financial companies listed on the stock exchange is examined by measuring their extent of interconnectedness at the lowest tail (1%) quantile. Using the macro risk and balance sheet variables under the directional connectedness framework, this study finds the underperforming periods of Indian banks and NBFCs. The findings are consistent with the systemic risk rankings of the Reserve Bank of India for the domestic banks and systemically important NBFCs.
