PENGUKURAN RISIKO SISTEMIK INSTITUSI KEUANGAN DI INDONESIA DENGAN PENDEKATAN CAPITAL SHORTFALL

Authors

  • Arief Karna Miharja Fakultas Ekonomi dan Bisnis, Universitas Indonesia
  • Irwan Adi Ekaputra Fakultas Ekonomi dan Bisnis, Universitas Indonesia

Keywords:

Capital shortfall, financial crisis, financial institution, marginal expected shortfall, systemick risk

Abstract

This research measures systemic risk of financial institutions listed in Indonesia Stock Exchange on period of 2006 – 2010, including financial crisis period in 2008, using capital shortfall method and SRISK risk measure. SRISK is capital shortage experienced by financial institution on condition of market return drop within a certain period. SRISK is a function of leverage, size, and Marginal Expected Shortfall (MES) of financial institution. MES is equity return drop of financial institution on condition of market return drop within a certain period. Research result shows that banking sub-sector is the highest contributor for systemic risk of financial sector

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Published

2017-03-16

Issue

Vol. 17 No. 2 (2015): Vol.17 No. 2 December 2015

Section

Articles