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All Journal EkoBis ( Ekonomi & Bisnis ) Jurnal Ekonomi dan Studi Pembangunan (JESP)
Rihana Sofie Nabella
Brawijaya University
Economics, Econometrics & Finance

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DETEKSI RISIKO SISTEMIK DAN KETERKAITAN KEUANGAN: STUDI PADA INSTITUSI KEUANGAN DI INDONESIA Rihana Sofie Nabella; Setyo Tri Wahyudi; Dewani Indah Tawakalni
Jurnal Ekonomi dan Bisnis Vol 21, No 2 (2020): JURNAL EKONOMI DAN BISNIS
Publisher : Department of Management, Faculty of Economics, Universitas Islam Sutan Agung, Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30659/ekobis.21.2.108-120

Abstract

The purpose of this study is to measure systemic risk and financial linkages in financial institutions in Indonesia. The financial sector plays a vital role in the economy. On the other hand, this sector is also vulnerable to crises or risks, one of which is systemic risk. This study uses a sample 20 financial institutions from January 2012 to December 2018 with the Conditional Value at Risk (CoVaR) model. The results obtained show that the size of an institution does not determine the amount of systemic risk contribution. Based on the average systemic risk contribution obtained that insurance companies become the largest contributor to systemic risk.
Systemic Risk Analysis Using Conditional Value at Risk (CoVaR) Model: Study of Conventional Banks in Indonesia Rihana Sofie Nabella; Ghozali Maski; Setyo Tri Wahyudi
Jurnal Ekonomi dan Studi Pembangunan Vol 12, No 1 (2020)
Publisher : Universitas Negeri Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17977/um002v12i12020p057

Abstract

This study aims to measure systemic risk in conventional commercial banks in Indonesia with the Conditional Value at Risk (CoVaR) model developed by Adrian and Brunnermeier (2009). The financial crises of 1998 and 2008 have become valuable lessons for Indonesian banks to always maintain financial system stability because the impact caused by systemic risks is very large. Systemic risk is the possibility of instability due to contagion in some or all of the financial system. This study uses a sample of 6 conventional commercial banks in Indonesia from January 2012 to December 2018. The results obtained from this study is the systemic risk is not related to the size of banks. Each bank has a negative externality so that it can cause a bank rush and systemic impact.
Co-Authors Dewani Indah Tawakalni Ghozali Maski Kartika Sari Nurul Badriyah Radeetha Radeetha Setyo Tri Wahyudi