THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS

THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS

This paper examines the determinants of systemic risk across Indonesian commercial banks using quarterly data from 2001Q4 to 2017Q4. Employing four measures of systemic risk, namely value-at-risk (VaR), historical marginal expected shortfall (MESH), marginal expected shortfall from GARCH-DCC (MESdcc...

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Bibliographic Details
Main Authors: Mutiara Aini, Deddy Priatmodjo Koesrindartoto
Format: Article
Language:Indonesian
Published: Bank Indonesia 2020-02-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
bank fragility
bank performance
financial regulation
systemic risk
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/1084

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