MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA
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, G33Downloads
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References
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Adrian, t., dan Brunnermeier, (2009). Covar. Princeton University, Department of Economics, Bendheim Center for Finance, Princeton,
Black, F and Cox, J (1976), ‘Valuing corporate securities: some effects ofbond indenture provisions’, Journal of Finance, Vol. 31, pages 351–67.
Cooperstein, R.,L., Pennacchi, G.G. Redburn, F.S. (2003). The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis, Deparment of Finance University of Illinois.
Crosbie, P and Bohn, J. (2003). Modelling Default Risk. Moody’s KMV Company.
De Bandt, O. and P. Hartmann, (2000). Systemic Risk: A Survey, CEPR Discussion Paper Series No. 2634.
Foster, G. (1986). Financial Statement Analysis. 2nd Ed. Prentice Hall. Heffernan, S. (2005). Modern Banking. West Sussex. Joh Willey and Sons Ltd
Jorion, P. (2001). Value at Risk. 2nd ed., McGraw-Hill, New York. KMV, (2003). Modeling Default Risk, Published by: Moody’s KMV Company.
Lehar, Alfred. (2005). Measuring Systemic Risk: A Risk Management Approach, Journal of Banking & Finance 29. Department of Business Studies, University of Vienna, Vienna, Austria.
Malik,I., (2013).Premi Berbasiskan Risiko Pada Lembaga Penjamin Simpanan. Program Pascasarjana, Universitas Indonesia. Jakarta.
Merton, R.C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, Volume 29 Issue 2. New York.
Mongid, A. (2000). ”Accounting Data and Bank Future Failure: A Model For Indonesia. Simposium Nasional Akuntansi
Roengpitya, R. dan Rungcharoenkitkul, P. (2010). Measuring Systemic Risk And Financial Linkages In The Thai Banking System, Bank of
Thailand,Jurnal Bank of Thailand, Bangkok.
Saheruddin, H. (2009). Mengungkap Praktek Herding pada Perbankan Indonesia dengan Metode K-Means Cluster dan LSV Measure: Implikasinya Terhadap Risiko Sistemik. Tesis, Fakultas Ekonomi,Universitas Indonesia, Jakarta.
Tudela and Young, G., (2003). A Merton Model Approach to Assessing the Default Risk of UK Public Companies Bank of England.
Zebua, A., (2010). Analisis Resiko Sistemik Perbankan di Indonesia. Program Pascasarjana, Institut Pertanian Bogor (IPB), Bogor.
Published
2014-04-04
How to Cite
Ayomi, S., & Hermanto, B. (2014). MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA. Buletin Ekonomi Moneter Dan Perbankan, 16(2), 103-125. https://doi.org/10.21098/bemp.v16i2.24
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
