Since 2014
MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA
Bulletin of Monetary Economics and Banking
View Archive Info| Field | Value | |
| Title |
MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA
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| Creator |
Ayomi, Sri
Hermanto, Bambang |
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| Description |
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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| Publisher |
Bank Indonesia
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| Date |
2014-04-04
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://www.bmeb-bi.org/index.php/BEMP/article/view/24
10.21098/bemp.v16i2.24 |
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| Source |
Buletin Ekonomi Moneter dan Perbankan; Vol 16 No 2 (2013): OCTOBER; 103-125
Buletin Ekonomi Moneter dan Perbankan; Vol 16 No 2 (2013): OCTOBER; 103-125 2460-9196 1410-8046 10.21098/bemp.v16i2 |
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| Language |
ind
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| Relation |
https://www.bmeb-bi.org/index.php/BEMP/article/view/24/16
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| Rights |
Copyright (c) 2015 Sri Ayomi, Bambang Hermanto
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