Systemic Risk And Financial Linkages Measurement in The Indonesian Banking

Sri Ayomi () and Bambang Hermanto ()

Bulletin of Monetary Economics and Banking, 2013, vol. 16, issue 2, 91-114

Abstract: 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.

Keywords: Conditional Value at Risk, Probability of Default, Systemic Risk and Financial Linkages; Value at Risk. (search for similar items in EconPapers)
JEL-codes: D81 G21 G33 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:16:y:2013:i:2i:p:91-114

DOI: 10.21098/bemp.v16i2.439

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