ESTIMATING A JOINT PROBABILITY OF DEFAULT INDEX FOR INDONESIAN BANKS: A COPULA APPROACH

ESTIMATING A JOINT PROBABILITY OF DEFAULT INDEX FOR INDONESIAN BANKS: A COPULA APPROACH

We develop a joint default probability index to signal potential systemic risks in the highly concentrated Indonesian banking industry. To build the index, we estimate bank-level tail risks using monthly bank financial reports. We use the copula approach to derive the joint multivariate dependencies...

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Bibliographic Details
Main Authors: Zaafri Ananto Husodo, Sigit Sulistyo Wibowo, Muhammad Budi Prasetyo, Usman Arief, Maulana Harris Muhajir
Format: Article
Language:Indonesian
Published: Bank Indonesia 2020-12-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
copula
pair copula construction
systemic risk
financial system
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/1358

Internet

https://www.bmeb-bi.org/index.php/BEMP/article/view/1358

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