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

Deskripsi

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