[ABSTRAK
Penelitian ini mengukur risiko sistemik institusi keuangan yang tercatat di BursaEfek Indonesia (BEI) pada periode 2006 ? 2010, mencakup periode krisiskeuangan tahun 2008, menggunakan metode capital shortfall dan ukuran risikoSRISK. SRISK adalah kekurangan modal yang dialami institusi keuangan jikaimbal hasil pasar jatuh pada periode waktu tertentu. SRISK merupakan fungsi darileverage, ukuran, dan Marginal Expected Shortfall (MES) institusi keuangan.MES adalah penurunan imbal hasil saham institusi keuangan jika pasarmengalami penurunan imbal hasil pada periode waktu tertentu. Hasil penelitianmenunjukkan bahwa sub-sektor perbankan memberikan kontribusi terbesar risikosistemik pada sektor keuangan di Indonesia.

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ABSTRACT
This research measures systemic risk of financial institutions listed in IndonesiaStock Exchange on period of 2006 ? 2010, including financial crisis period in2008, using capital shortfall method and SRISK risk measure. SRISK is capitalshortage experienced by financial institution on condition of market return dropwithin a certain period. SRISK is a function of leverage, size, and MarginalExpected Shortfall (MES) of financial institution. MES is equity return drop offinancial institution on condition of market return drop within a certain period.Research result shows that banking sub-sector is the highest contributor forsystemic risk of financial sector, This research measures systemic risk of financial institutions listed in IndonesiaStock Exchange on period of 2006 – 2010, including financial crisis period in2008, using capital shortfall method and SRISK risk measure. SRISK is capitalshortage experienced by financial institution on condition of market return dropwithin a certain period. SRISK is a function of leverage, size, and MarginalExpected Shortfall (MES) of financial institution. MES is equity return drop offinancial institution on condition of market return drop within a certain period.Research result shows that banking sub-sector is the highest contributor forsystemic risk of financial sector]