Logo

Pusat Sumber Belajar FEB UI

  • FAQ
  • Berita
  • Rooms
  • Bantuan
  • Area Anggota
  • Pilih Bahasa :
    Bahasa Inggris Bahasa Indonesia
  • Search
  • Google
  • Advanced Search
*sometimes there will be ads at the top, just scroll down to the results of this web
No image available for this title

Text

The Determinants of Systemic Risk: Evidence from Indonesian Commercial Banks

Koesrindartoto, Deddy Priatmodjo - ; Aini, Mutiara - ;

This paper examines the determinants of systemic risk across Indonesian commercial banks using quarterly data from 2001Q4 to 2017Q4. Employing four measures of systemic risk, namely value-at-risk (VaR), historical marginal expected shortfall (MESH), marginal expected shortfall from GARCH-DCC (MESdcc), and long-run marginal expected shortfall (LRMES), we find that bank size is positively related to systemic risk, whereas banks and economic loan activity are negatively related to systemic risk. These findings suggest that the government needs to regulate loan activities and to monitor big banks as they have significant impacts on bank systemic risk.


Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir (Majalah)1
PenerbitJakarta: Bank Indonesia 2020
EdisiVolume 23, Number 1, 2020
SubjekCommercial banks
Indonesian
Systemic risk
ISBN/ISSN2460-9196
KlasifikasiNONE
Deskripsi Fisik160 p.
Info Detail SpesifikBulletin of Monetary Economics and Banking
Other Version/RelatedTidak tersedia versi lain
Lampiran Berkas
  • The Determinants of Systemic Risk: Evidence from Indonesian Commercial Banks

Pencarian Spesifik
Where do you want to share?