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ABSTRAKTesis ini membahas mengenai pengukuran kontribusi risiko sistemik dan
hubungannya dengan karakteristik individu bank pada perbankan Indonesia
dengan periode pengamatan dari 2003 s.d 2013.Metode yang digunakan untuk
mengukur kontribusi risiko sistemik adalah CoVaR (Girardi dan Ergun, 2013) dan
MES (Acharya, 2010). CoVaR digunakan untuk melihat kontribusi risiko sistemik
masing-masing bank terhadap sistem keuangan apabila bank mengalami distress
sedangkan MES digunakan untuk melihat bagaimana kontribusi risiko sistemik
masing-masing bank apabila sistem keuangan mengalami distress. Dari hasil
pengukuran ditemukan bank yang memiliki nilai Delta CoVaR terbesar adalah
BMRI, BBRI, BBCA dan BBNI.Ke 4 (empat) bank tersebut merupakan bank
terbesar di Indonesia.
Hal ini menunjukan bahwa bank yang akan memberikant kontribusi risiko
kepada sistem sebesar nilai Delta CoVaR nya saat bank mengalami distress.
Sebaliknya dari hasil pengukuran MES diketahui bahwa bank yang akan
memberikan kontribusi risiko sistemik terbesar saat sistem mengalami distress
adalah BBRI. Hasil penelitian menunjukan bahwa karakteristik individu bank
seperti ukuran bank dan VaR memiliki pengaruh yang signifikan terhadap besar
kontribusi risiko sistemik bank di Indonesia. Kondisi makroekonomi seperti inflasi
secara signifikan mempengaruhi nilai kontribusi risiko sistemik dari masingmasing
bank di Indonesia.
ABSTRACTThis thesis discusses the contribution of systemic risk and its relationship
with the individual characteristics of banks in the Indonesian banking with the
observation period from 2003 until 2013. The method used to measure systemic
risk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).
CoVaR looks ay the returns of the financial system when an institution is in
financial distress while MES looks at the returns of an institution when the
financial system is in distress. From the results of measurements we found that the
bank has the largest value of Delta CoVaR areBMRI , BBRI , BBCA and BBNI .
All of the bank are the largest bank in Indonesia.
This shows that the bank will contribute to the system at its current value of
Delta CoVaR bankswhile experiencing distress. On the other hand, the result
measurement of the MES is that BBRI will provide the largest contribution to
systemic risk when the system it experiencing distress.The results showed that
individual characteristics such as bank size and VaR has a significant effect on the
bank contribution to systemic risk in Indonesia. Macroeconomic conditions such
as inflation significantly affect the value of systemic risk contribution of each bank
in Indonesia.;This thesis discusses the contribution of systemic risk and its relationship
with the individual characteristics of banks in the Indonesian banking with the
observation period from 2003 until 2013. The method used to measure systemic
risk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).
CoVaR looks ay the returns of the financial system when an institution is in
financial distress while MES looks at the returns of an institution when the
financial system is in distress. From the results of measurements we found that the
bank has the largest value of Delta CoVaR areBMRI , BBRI , BBCA and BBNI .
All of the bank are the largest bank in Indonesia.
This shows that the bank will contribute to the system at its current value of
Delta CoVaR bankswhile experiencing distress. On the other hand, the result
measurement of the MES is that BBRI will provide the largest contribution to
systemic risk when the system it experiencing distress.The results showed that
individual characteristics such as bank size and VaR has a significant effect on the
bank contribution to systemic risk in Indonesia. Macroeconomic conditions such
as inflation significantly affect the value of systemic risk contribution of each bank
in Indonesia., This thesis discusses the contribution of systemic risk and its relationship
with the individual characteristics of banks in the Indonesian banking with the
observation period from 2003 until 2013. The method used to measure systemic
risk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).
CoVaR looks ay the returns of the financial system when an institution is in
financial distress while MES looks at the returns of an institution when the
financial system is in distress. From the results of measurements we found that the
bank has the largest value of Delta CoVaR areBMRI , BBRI , BBCA and BBNI .
All of the bank are the largest bank in Indonesia.
This shows that the bank will contribute to the system at its current value of
Delta CoVaR bankswhile experiencing distress. On the other hand, the result
measurement of the MES is that BBRI will provide the largest contribution to
systemic risk when the system it experiencing distress.The results showed that
individual characteristics such as bank size and VaR has a significant effect on the
bank contribution to systemic risk in Indonesia. Macroeconomic conditions such
as inflation significantly affect the value of systemic risk contribution of each bank
in Indonesia.]
T42661-Nike Lestari.pdf :: Unduh