The credit portfolio of domestic systemically important banks in India from 2009–10 to 2019–20 is examined through an industry-wise analysis. The industry-wise default risk and bank-wise recovery risk estimates reflect on the expected and unexpected losses of D-SIBs. The study attempts to consider the Basel (2006) guidelines for the estimation of correlation, which is derived from asset correlations based on equity returns. The industry-wise analysis is important for lenders in monitoring the volatile industries. The analysis assesses the risk adjusted performance of lending institutions that are systemically important.
