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  • 标题:Measuring Systemic Risk of Banking in Indonesia: Conditional Value at Risk Model Application
  • 本地全文:下载
  • 作者:Harjum Muharam ; Erwin Erwin
  • 期刊名称:Signifikan
  • 印刷版ISSN:2087-2046
  • 电子版ISSN:2476-9223
  • 出版年度:2017
  • 卷号:6
  • 期号:2
  • 页码:301-318
  • DOI:10.15408/sjie.v6i2.5296
  • 出版社:Universitas Islam Negeri Syarif Hidayatullah Jakarta
  • 摘要:Systemic risk is a risk of collapse of the financial system that would cause the financial system is not functioning properly. Measurement of systemic risk in the financial institutions, especially banks are crucial, because banks are highly vulnerable to financial crisis. In this study, to estimate the conditional value-at-risk (CoVaR) used quantile regression. Samples in this study of 9 banks have total assets of the largest in Indonesia. Testing the correlation between VaR and ΔCoVaR in this study using Spearman correlation and Kendall's Tau. There are five banks that have a significant correlation between VaR and ΔCoVaR, meanwhile four others banks in the sample did not have a significant correlation. However, the correlation coefficient is below 0.50, which indicates that there is a weak correlation between VaR and CoVaR. DOI: 10.15408/sjie.v6i2.5296.
  • 关键词:systemic risk; conditional value at risk; value at risk; banking industry
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