Modelling Systemically Important Banks vis-à-vis the Basel Prudential Guidelines
M. Zulkifli Salim () and
Kevin Daly ()
Additional contact information
M. Zulkifli Salim: Financial Services Authority, Jakarta 12710, Indonesia
Kevin Daly: School of Business, Western Sydney University, Penrith, NSW 2151, Australia
JRFM, 2021, vol. 14, issue 7, 1-20
Our paper investigates Indonesia’s systemically important banks (SIBs) using theoretical approaches—CoVaR, marginal expected shortfall (MES), and SRISK—to compare with the Basel guidelines as benchmark. We use Indonesian banks’ market and supervisory data over the 2008–2019 period. The research aims to seek intertheoretical model interaction and SIB ranking in concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent ranking compared with CoVaR and MES. CoVaR and MES had higher intermodel correlation converted to 59% similarity in rankings. Further, all theoretical models are in line with the Basel guidelines, where the closest approximation is at 47%. The results indicate that policy makers could use scholarly models as validation tools and help improve supervision decision to identify systemically important institutions.
Keywords: systemic bank; systemic risk; risk modelling; Basel; bank supervision (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:295-:d:582813
Access Statistics for this article
JRFM is currently edited by Ms. Chelthy Cheng
More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().