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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 Number | Location | Available |
|---|---|---|
| 8401 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Manajemen, Fakultas Ekonomi Universitas Indonesia 2013 |
|---|---|
| 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 | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |