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Mengukur Risiko Sistemik Dan Keterkaitan Finansial Perbankan Di Indonesia

Author

Listed:
  • Sri Ayomi
  • Bambang Hermanto

Abstract

This paper measures the insolvency risk of bank in Indonesia. We apply Merton model to identify the probability of defaul tover 30 banks during the period of 2002-2013. This paper also identify role of financial linkage a cross banks on transmitting from one bank to another; which enable us to assess if the risk is systemic or not. The results showed the larger total asset of the bank, the larger they contribute to systemic risk.

Suggested Citation

  • Sri Ayomi & Bambang Hermanto, 2013. "Mengukur Risiko Sistemik Dan Keterkaitan Finansial Perbankan Di Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 16(2), pages 1-24, October.
  • Handle: RePEc:idn:journl:v:16:y:2013:i:2b:p:1-24
    DOI: https://doi.org/10.21098/bemp.v16i2.24
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    Cited by:

    1. Yulita Wulandari & Musdholifah & Suhal Kusairi, 2017. "The Impact of Macroeconomic and Internal Factors on Banking Distress," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 429-436.

    More about this item

    Keywords

    Conditional Value at Risk; Probability of Default; Systemic Risk and Financial Linkages; Value at Risk;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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