摘要：We investigate the systemically important banks in the Indonesian financial system using Multivariate GARCH Conditional Value at Risk (CoVaR). The systemic risk measurement,ΔCoVaR, defined as the change from CoVaR in its benchmark state as a one-standard-deviation event to its CoVaR under financial distress. We estimate the systemic risk contribution using 21 commercial banks from January 2007 to December 2018. Our study reveals that the top five ranking systemic banks are dominated by state-owned banks,and its ranking is consistently the same in the period before,during,and after the global financial crisis. Finally,we empirically find that systemic risk in Indonesia is strongly affected by external factors rather than bank characteristics. Based on this finding,we suggest that the government should maintain the regulation of external effect rather than the domestic effect..
