SYSTEMIC RISK AND FINANCIAL LINKAGES MEASUREMENT IN THE INDONESIAN BANKING

  • Sri Ayomi
  • Bambang Hermanto

Abstract

This paper measures the insolvency risk of bank in Indonesia. We apply Merton model to identify the probability of defaul tover 30 banks during the period of 2002-2013. This paper also identify role of financial linkage a cross banks on transmitting from one bank to another; which enable us to assess if the risk is systemic or not. The results showed the larger total asset of the bank, the larger they contribute to systemic risk.

 

Keywords : Conditional Value at Risk; Probability of Default; systemic risk and financial linkages;Value at Risk.

JEL Classification: D81, G21, G33

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Published
2014-04-05
How to Cite
Ayomi, S., & Hermanto, B. (2014). SYSTEMIC RISK AND FINANCIAL LINKAGES MEASUREMENT IN THE INDONESIAN BANKING. Buletin Ekonomi Moneter Dan Perbankan, 16(2), 91-114. https://doi.org/10.21098/bemp.v16i2.439
Section
Articles