MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA | Zendy

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MENGUKUR RISIKO SISTEMIK DAN KETERKAITAN FINANSIAL PERBANKAN DI INDONESIA

Author(s) -

Sri Ayomi,

Bambang Hermanto

Publication year - 2014

Publication title -

deleted journal

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.505

H-Index - 4

ISSN - 1410-8046

DOI - 10.21098/bemp.v16i2.24

Subject(s) - systemic risk , business , value at risk , asset (computer security) , insolvency , expected shortfall , financial system , value (mathematics) , actuarial science , finance , economics , risk management , financial crisis , computer science , statistics , mathematics , computer security , macroeconomics

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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