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  • 标题:SYSTEMIC RISK AND FINANCIAL LINKAGES MEASUREMENT IN THE INDONESIAN BANKING
  • 本地全文:下载
  • 作者:Sri Ayomi ; Bambang Hermanto
  • 期刊名称:Bulletin Ekonomi Moneter dan Perbankan
  • 印刷版ISSN:1410-8046
  • 电子版ISSN:2460-9196
  • 出版年度:2013
  • 卷号:16
  • 期号:2
  • 页码:91-114
  • DOI:10.21098/bemp.v16i2.439
  • 出版社:Bank Indonesia
  • 摘要: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.
  • 关键词:Conditional Value at Risk; Probability of Default; systemic risk and financial linkages; Value at Risk
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