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Abstrak :
[ABSTRAK
Tesis 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.

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ABSTRACT
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., 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.]

Abstrak :
Tesis ini meneliti hubungan tingkat kompetisi dan tingkat konsentrasi perbankan terhadap risiko sistemik. Selain itu, juga dilakukan penelitian mengenai hubungan kontribusi bank terhadap risiko sistemik dengan karakteristik masingmasing bank. Penelitian ini menggunakan model Panzar - Rosse dan CR5 atas data laporan keuangan bulanan seluruh bank umum ke Bank Indonesia untuk mengukur tingkat kompetisi dan tingkat persaingan. Penelitian ini juga menggunakan model CoVaR dengan metode Quantile Regression atas data return saham bulanan bank umum untuk mengukur risiko sistemik. Periode pengamatan adalah Januari 2004 sampai Maret 2013. Hasil penelitian menunjukkan tingkat persaingan dan tingkat konsentrasi perbankan meningkatkan risiko sistemik Hal ini berarti mendukung hipotesa competition fragility dan concentration fragility. Hal ini menandakan bahwa persaingan yang makin tinggi mendorong perbankan untuk mengambil risiko yang lebih tinggi sementara tingkat konsentrasi yang makin tinggi mendorong bank dengan kekuatan pasar besar untuk mengenakan bunga yang lebih besar yang pada gilirannya dapat menyebabkan meningkatnya risiko sistemik atas sistem keuangan. Adanya pengaruh variabel kontrol Net Interest Margin terhadap kedua model memperkuat hipotesa tersebut. Selain itu ukuran bank dan rasio pinjaman antar bank terhadap pendanaan juga berpengaruh terhadap kontribusi risiko sistemik suatu bank. Sementara variabel profitability (ROA), variabel struktur permodalan (EQ), dan variabel struktur deposito (ratio demand. ...... This thesis analyzes the relationship between Indonesian banking competition, concentration, and systemic risk. This thesis also analyes the relationship between bank?s contribution to systemic risk with characteristics of individual bank. This thesis uses Panzar - Rosse and CR5 model of the entire bank?s monthly financial report to measure competition and concentration. CoVaR with Quantile Regression of banks? monthly stock return were used for systemic risk contribution measurement. The period of observation is from January 2004 until March 2013. The empirical result shows concentration and competition increase the systemic risk (CoVaR). This thesis support both competition-fragility and concentration-fragility hypothesa. This means increasing competition leads banks to taking higher risks and banks with high market power tends to charge higher interest rate to their debtors which will lead to increasing banks? contribution to systemic risk. The fact that Net Interest Margin as control variable is statistically significant for both models shows further support for both hypothesa. The influence of size and interbank deposit ratio to bank?s contribution to systemic risk is statistically significant, meanwhile, profitability, capital structure, and demand deposit to total funding ratio are not significant.

Abstrak :
Tesis ini meneliti hubungan tingkat kompetisi dan tingkat konsentrasi perbankan terhadap risiko sistemik. Selain itu, juga dilakukan penelitian mengenai hubungan kontribusi bank terhadap risiko sistemik dengan karakteristik masingmasing bank. Penelitian ini menggunakan model Panzar ? Rosse dan CR5 atas data laporan keuangan bulanan seluruh bank umum ke Bank Indonesia untuk mengukur tingkat kompetisi dan tingkat persaingan. Penelitian ini juga menggunakan model CoVaR dengan metode Quantile Regression atas data return saham bulanan bank umum untuk mengukur risiko sistemik. Periode pengamatan adalah Januari 2004 sampai Maret 2013. Hasil penelitian menunjukkan tingkat persaingan dan tingkat konsentrasi perbankan meningkatkan risiko sistemik Hal ini berarti mendukung hipotesa competition fragility dan concentration fragility. Hal ini menandakan bahwa persaingan yang makin tinggi mendorong perbankan untuk mengambil risiko yang lebih tinggi sementara tingkat konsentrasi yang makin tinggi mendorong bank dengan kekuatan pasar besar untuk mengenakan bunga yang lebih besar yang pada gilirannya dapat menyebabkan meningkatnya risiko sistemik atas sistem keuangan. Adanya pengaruh variabel kontrol Net Interest Margin terhadap kedua model memperkuat hipotesa tersebut. Selain itu ukuran bank dan rasio pinjaman antar bank terhadap pendanaan juga berpengaruh terhadap kontribusi risiko sistemik suatu bank. Sementara variabel profitability (ROA), variabel struktur permodalan (EQ), dan variabel struktur deposito (ratio demand deposit terhadap total funding) tidak berpengaruh pada kontribusi risiko sistemik. ...... This thesis analyzes the relationship between Indonesian banking competition, concentration, and systemic risk. This thesis also analyes the relationship between bank?s contribution to systemic risk with characteristics of individual bank. This thesis uses Panzar ? Rosse and CR5 model of the entire bank?s monthly financial report to measure competition and concentration. CoVaR with Quantile Regression of banks monthly stock return were used for systemic risk contribution measurement. The period of observation is from January 2004 until March 2013. The empirical result shows concentration and competition increase the systemic risk (CoVaR). This thesis support both competition-fragility and concentration-fragility hypothesa. This means increasing competition leads banks to taking higher risks and banks with high market power tends to charge higher interest rate to their debtors which will lead to increasing banks contribution to systemic risk. The fact that Net Interest Margin as control variable is statistically significant for both models shows further support for both hypothesa. The influence of size and interbank deposit ratio to bank?s contribution to systemic risk is statistically significant, meanwhile, profitability, capital structure, and demand deposit to total funding ratio are not significant.

Abstrak :
Tujuan dari penelitian ini adalah untuk menganalisis peringkat risiko sistemik dari enam metodologi pengukuran risiko sistemik yang dikenal serta mengembangkan peringkat risiko sistemik komposit menggunakan metode Principal Component Analysis (PCA), mengacu pada Nucera et al. (2016). Systemically Important Financial Institutions (SIFIs) didefinisikan sebagai 10 perusahaan yang memiliki risiko sistemik tertinggi dalam setiap pemeringkatan dari total sampel 60 lembaga keuangan yang go public selama periode 2008-2016. Dari hasil studi, peringkat komposit yang kami kembangkan lebih konsisten dalam menjelaskan komposisi SIFIs dari kebanyakan pemeringkatan risiko sistemik individu lainnya. Dari hasil PCA, ditemukan bahwa peringkat komposit yang kami hasilkan terutama dijelaskan oleh metode pemeringkatan berbasis data pasar. Lebih lanjut, kami menemukan perbedaan yang substantial antara pemeringkatan berbasis data pasar dan pemeringkatan berbasis data fundamental dalam menjelaskan peringkat risiko komposit. Oleh karena itu, dapat diduga bahwa peringkat risiko sistemik komposit, yang menggabungkan aspek pasar dan fundamental, akan memberikan informasi yang lebih lengkap bagi pengambil kebijakan dalam membuat keputusan di masa depan. ...... The aim of this study is to incorporate systemic risk ranking from six generally accepted metrics and develop a single composite ranking using Principle Component Analysis, based on Nucera et al. (2016). We analyze the Systemically Important Financial Institutions (SIFIs) to gather information difference between systemic risk metrics. We identify SIFIs as the top 10 companies in each systemic risk metrics ranking, using a sample of 60 listed financial institutions in Indonesia over the period 2008-2016. We find that our single composite ranking is more consistent in term of SIFIs composition than most individual risk rankings. Furthermore, according to factor loadings of the first component, our single composite ranking is mainly based on market-based instead of fundamental. Based on second factor loading, we find that market-based metrics and fundamental-based metrics deviated substantially in constructing our composite ranking. Therefore, we suspect that our single composite ranking, that combines both market and fundamental aspect, will provide better insight for the regulator to make a decision.

Abstrak :
Studi ini mencoba untuk mengidentifikasi bank sistemik di Indonesia dengan menggunakan pendekatan Conditional Value-at-Risk (CoVaR). Dengan populasi berdasarkan semua data bank umum selama tahun 2002-2014 119 bank , studi ini melakukan tiga langkah pengukuran sebagai berikut. Pertama, studi ini menggunakan model Merton untuk mengukur probabilitas default bank umum. Kedua, studi ini mengukur value at risk masing-masing bank termasuk kontribusi risiko sistemik pada sistem perbankan secara keseluruhan. Akhirnya, studi ini mengukur keterkaitan keuangan antar bank dan kontribusi value at risk individu bank, yang dikondisikan imbal hasil bank lain mengalami kesulitan keuangan, yaitu pada tingkat Value at Risk-nya. Dengan menerapkan ambang batas ?CoVaR A B sebesar 20 persen, studi ini menemukan bahwa terdapat dua belas dari seratus sembilan belas bank umum di Indonesia yang dikategorikan sebagai bank sistemik. Tes tambahan dengan mengunakan GMM menunjukkan bahwa ukuran bank berdampak positif terhadap CoVaR. Dengan demikian, bank dengan total aset yang lebih besar cenderung memiliki risiko sistemik yang lebih tinggi. Adakah kriteria lain yang lebih penting selain ukuran bank? Studi ini menemukan bahwa ukuran bank bukan lah faktor yang paling utama. Studi ini juga menggunakan beberapa metode, yakni menggunakan metode Conditional Value-at-Risk untuk mengukur kontribusi risiko sistemik institusi dan pendekatan uji kausalitas Granger untuk menentukan tingkat interconnectedness keterkaitannya. Uji kausalitas Granger digunakan untuk menjawab mengapa bank bank menengah kecil dapat juga menjadi bank sistemik karena keterkaitannya dengan bank lain. Uji ini juga dapat digunakan sebagai indikator utama untuk mendeteksi tekanan pada sistem keuangan, khususnya sistem perbankan. Hasil analisis menunjukkan bahwa tingkat interkoneksi antar bank mengalami peningkatan yang signifikan ketika pasar keuangan dalam kondisi tertekan. Studi ini juga menjelaskan betapa pentingnya pemberian Fasilitas Pembiayaan Darurat FPD atau Emergency Liquidity Assistance ELA kepada bank gagal berdampak sistemik Systemically Important Banks di Indonesia.

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This study attempts to identify systemically important banks in Indonesia by utilizing Conditional Value-at-Risk CoVaR approach. Based on all commercial banks data during 2002-2014, this study conducts three-steps measurement as follows. Firstly, this study uses Merton model to gauge the commercial banks rsquo; probability of default. Secondly, this study quantifies the value at risk of each bank including its contribution to the whole banking systemic risk. Finally, this study measures financial linkage among banks and the value at risk contribution of the individual bank, conditioning that financial distress event refers to the return of other banks are at its Value at Risk. Applying a threshold of 20 ?CoVaR A B, this study finds twelve out of one hundred and nineteen Indonesian commercial banks are systemically important. An additional test using GMM indicates that bank size has a positive impact on CoVaR. Thus, banks with greater total assets have higher systemic risk. Is there anything else more important than bank size? This study finds thats bank size is not a major factor. This study also uses several methods, namely using Conditional Value-at-Risk method to analyze the systemic risk contribution in the banking system of Indonesia and Granger causality test to determine the level of interconnectedness. Granger Causality Test gives answer why a small medium bank can also be a systemically important bank because of its interconnectedness with other banks. This test can also be used as a leading indicator. These results indicate that interconnection levels among banks will increase significantly in depressed financial markets conditions. This study explains how important to give Emergency Liquidity Assistant ELA to Systemically Important Banks in Indonesia.