Image of Analisis pengaruh short-term wholesale funding terhadap risiko sistemik bank dengan metode pengukuran conditional value-at-risk periode 2005-2011

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Analisis pengaruh short-term wholesale funding terhadap risiko sistemik bank dengan metode pengukuran conditional value-at-risk periode 2005-2011

This research aim to find the effect of short-term wholesale funding on banks systemic risk based on earlier research by Lopez-Espinosa et al. (2012). Systemic risk measured by Conditional Value-at-Risk (CoVaR) method ? developed from Value-at-Risk (VaR). This research found that short-term wholesale funding does not significantly contributes to systemic risk of banks listed on Bursa Efek Indonesia, differs from result of Lopez-Espinosa et al. (2012). This research also found that size is not an appropriate proxy to measure systemic risk ? a confirmation of Zhou (2010) and Lopez-Espinosa et al. (2012) researchs result.Ada tabel

Ketersediaan

Call NumberLocationAvailable
8401PSB lt.2 - Karya Akhir1
Penerbit Depok Program Studi Manajemen, Fakultas Ekonomi Universitas Indonesia.,
Edisi -
Subjek Banks and banking
Risk analysis
Value at risk
Risk measurement
Systemic risk
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xvi, 72 p. : diagr. ; 30 cm.
Info Detail Spesifik -
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