This study is directed at gauging the equity price risk of the Indian commercial banks for the period 2003–2020. Parametric value-at-risk (VaR) is employed to estimate the downside risk. Further, the univariate exponential generalized auto regressive conditional heteroskedasticity (EGARCH) model is also used to find out the existence of stylised aspects of volatility. The outcomes point towards the existence of volatility clustering, persistence and asymmetry, but differ from bank to bank. Furthermore, the parametric VaR model that assumes normal distribution and student’s t-distribution is not found to be an accurate model for all the banks. Tail risk is also found to be significant, and thus, justifies the Basel Committee’s decision to shift towards an expected shortfall. However, these conventional VaR models should be supplemented by internal models, taking into consideration, bank-specific characteristics.
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