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Analisis tingkat risiko sistemik dan keterkaitan finansial perbankan di Indonesia

Chalid, Dony Abdul - ; Malale, Aprisal W. - ;

This article aims to analyze the level of systemic risk in the banking sector of Indonesia to see trade linkages and value of the shares of the banks in Indonesia. The study was conducted on 16 banks whose shares are actively traded on the Indonesia Stock Exchange, by using quantile regression with CoVaR research model. The measurement results and systemic risk analysis showed that the majority of individual banks provide additional contributions to the overall systemic risk. In addition, based on the analysis of financial linkages between banks, it can be concluded that the individual risk of a bank that is conditioned to the risk of other bank generates additional diverse risks. It is confirmed that when a bank experiencing distress, this condition does not necessarily provide additional individual risk to other banks. Based on these results, it is suggested to the government to carry out special supervision by OJK to banks with high systemic risk contribution and strong financial linkages with other banks by monitoring the movement of its shares..


Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir1
Penerbit: Jurnal BPPK 2014
Edisi-
SubjekShare valuation
Banking sector
Systemic risk
Quantile regression
ISBN/ISSN-
Klasifikasi-
Deskripsi Fisik-
Info Detail Spesifik-
Other Version/RelatedTidak tersedia versi lain
Lampiran BerkasTidak Ada Data

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