Mengukur Risiko Sistemik Dan Keterkaitan Finansial Perbankan Di Indonesia  

Oleh:

Ayomi, Sri ; Hermanto, Bambang

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Bulletin of Monetary Economics and Banking (ex: Buletin Ekonomi Moneter dan Perbankan) vol. 16 no. 2 (Oct. 2013), page 103-126.
Topik: Conditional Value at Risk; Probability of Default; systemic risk and financial linkages; Value at Risk.
Fulltext: Sri Ayomi-Bambang Hermanto_Paskl (1).pdf (1.13MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: BB62 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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