Bank Systemic Risk in Indonesia
Journal Title: Journal of Economics, Finance and Management Studies - Year 2024, Vol 7, Issue 06
Abstract
Banks are the primary participants and play a crucial role in the financial systems of most economies, including Indonesia. Banks face systemic risk because of their dynamic structure and the complex economic environment in which they operate. This study aims to measure the systemic risk in the Indonesian banking industry. This study employs quarterly data from 2010 to 2022 for 39 banks listed on the Indonesian stock exchange. In order to obtain the systemic risk index, this study uses the approach of conditional value at risk (CoVar) as well as marginal expected shortfall (MES).
Authors and Affiliations
Lilis Nur Kholishoh , Cep Jandi Anwar , Indra Suhendra
Keywords
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- EP ID EP736718
- DOI 10.47191/jefms/v7-i6-17
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