MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA

  • 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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Author Biographies

Sri Ayomi
Sri Ayomi is bank supervisor on Financial Services Authority (OJK)
Bambang Hermanto
is lecturer on Economic Department, University of Indonesia

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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
Section
Articles