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"[ABSTRAKPenelitian ini mengukur keterkaitan antara perbankan di Indonesia denganperbankan di Asia Tenggara, Asia, Emerging Market, dan Dunia. Denganmenggunkan pendekatan marginal expected shortfall (MES), yang diperkenalkanBrownless dan Engle (2012), analisis dilakukan terhadap saham 9 bank di Indonesiadan indeks saham perbankan setiap kawasan yang diambil dari Datastream selamaperiode 2004-2014. Hasil menunjukan perbankan di Indonesia bersifat independenterhadap shock dari sistem perbankan di kawasan lain. Estimasi MES menunjukankrisis yang terjadi pada perbankan di Indonesia memiliki dampak yang jauh lebihbesar terhadap bank-bank di Indonesia, dibaningankan apabila terjadi krisis padaperbankan di Asia Tenggara, Asia, Emerging Market, dan Dunia yang dampaknyarelatif kecil.

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ABSTRACTThis study analyze the interconnectedness among Indonesia banking industry andbanking industry in South East Asia, Asia, Emerging market, and World. Usingmarginal expected shortfall (MES) approach, which introduced by Brownless andEngle 2012, analysis conducted on stock of 9 banks and banking stock index ineach region that taken from Datastream during 2004-2014. The result show thatIndonesia banking system is relatively independent to shock in other region bankingsystems. The MES estimation results indicate crisis in Indonesian banking systemhas large impact to banks in Indonesia, compared if crisis experienced in SouthEast Asian, Emerging Market, Asian, and World banking system that haverelatively small impact, This study analyze the interconnectedness among Indonesia banking industry andbanking industry in South East Asia, Asia, Emerging market, and World. Usingmarginal expected shortfall (MES) approach, which introduced by Brownless andEngle 2012, analysis conducted on stock of 9 banks and banking stock index ineach region that taken from Datastream during 2004-2014. The result show thatIndonesia banking system is relatively independent to shock in other region bankingsystems. The MES estimation results indicate crisis in Indonesian banking systemhas large impact to banks in Indonesia, compared if crisis experienced in SouthEast Asian, Emerging Market, Asian, and World banking system that haverelatively small impact]"

"Pengukuran risiko menjadi salah satu pertimbangan utama sistem keuangan dalam membuat keputusan. Setelah krisis yang terjadi pada tahun 2008, muncul konsep baru terkait dengan regulasi keuangan seperti risiko sistemik. Masalah utama bagi para regulator disebut dengan Systemically Important Financial Institutions atau SIFIs. Penelitian ini bertujuan untuk memberikan alternatif penggunaan Component Expected Shortfall (CES) sebagai salah satu ukuran risiko untuk mengukur risiko sistemik di industri Perbankan Indonesia. Penelitian ini menggunakan data time-series harga saham penutupan harian dari 33 Bank yang terdaftar dalam Bursa Efek Indonesia (BEI) selama periode 1 Januari 2015-31 Desember 2019. Hasil penelitian ini menunjukkan bahwa Bank BUKU 4 dan Bank Umum Persero, yang merupakan Bank Sistemik, menempati peringkat 10 teratas dengan nilai CES tertinggi dan memberikan kontribusi lebih besar terhadap terjadinya risiko sistemik di Perbankan Indonesia. Metode pengukuran dengan menggunakan CES dapat memberikan hasil yang sama dengan yang dilakukan Perbankan di Indonesia saat ini. Hal ini dibuktikan dengan bahwa Bank yang memiliki hasil pengukuran CES tertinggi sama dengan Bank yang dikenakan Capital Surcharge oleh OJK. Hasil pengukuran CES lebih mudah untuk menginterpretasikan seberapa besar kontribusi Bank terhadap terjadinya risiko sistemik di Perbankan Indonesia dengan menggunakan %CES tersebut.

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Measuring risk has become one of the financial systems key consideration in making a decision. After the crisis in 2008, a new approach was formed in financial regulation such as systemic risk. The main problem for Regulators is called Systemically Important Financial Institution or SIFIs. This study aims to propose Component Expected Shortfall (CES) as a measurement of systemic risk in Indonesia Banking Industry. This study uses time-series data of daily closing stock price of 33 Banks listed in Indonesian Stock Exchange (IDX) from 1st January 2015 until 31st December 2019 to measure systemic risk by analyzing two measurement methods: Marginal Expected Shortfall (MES) and Component Expected Shortfall (CES). The analysis study shows that BUKU 4 Banks and State-owned Banks, which are systemic Banks, has the 10 of the highest CES value and therefore having more contribution to the systemic risk in Indonesian Banking. The measurement method using CES can provide the same result as that of Indonesian Banking today. This study is in line with OJK policy of Capital Surcharge which are imposed on those 10 Banks. The CES measurement result is easier to interpret the estimated amount of systemic risk in Indonesian Banking using the %CES."

"Penelitian ini bertujuan untuk mengukur kontribusi risiko sistemik perbankan di masing- masing negara emerging market ASEAN untuk perbandingan mengenai kondisi negara tersebut pada saat krisis dan setelahnya. Penelitian dilakukan dengan menggunakan pendekatan capital shortfall dengan metode marginal expected shortfall (MES). Kalkulasi kontribusi risiko sistemik dilakukan menggunakan market data pada periode observasi 2008- 2016. Hasilnya ditemukan bahwa pada periode krisis 2008 semua bank dan negara signifikan dan berkontribusi terhadap risiko sistemik dan MES dapat menjadi prediktor yang baik dalam mengukur risiko sistemik.

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This study aims to measure the contribution of systemic banking risk in each ASEAN emerging market country for comparison on the condition of the country at the time of crisis and thereafter. The research was conducted by using capital shortfall approach with marginal expected shortfall (MES) method. Calculations of systemic risk contribution were conducted using market data during the 2008-2016-observation period. The results found that during the 2008 crisis period all banks and countries were significant and contributed to systemic risk."

"[ABSTRAKTesis ini membahas mengenai pengukuran kontribusi risiko sistemik danhubungannya dengan karakteristik individu bank pada perbankan Indonesiadengan periode pengamatan dari 2003 s.d 2013.Metode yang digunakan untukmengukur kontribusi risiko sistemik adalah CoVaR (Girardi dan Ergun, 2013) danMES (Acharya, 2010). CoVaR digunakan untuk melihat kontribusi risiko sistemikmasing-masing bank terhadap sistem keuangan apabila bank mengalami distresssedangkan MES digunakan untuk melihat bagaimana kontribusi risiko sistemikmasing-masing bank apabila sistem keuangan mengalami distress. Dari hasilpengukuran ditemukan bank yang memiliki nilai Delta CoVaR terbesar adalahBMRI, BBRI, BBCA dan BBNI.Ke 4 (empat) bank tersebut merupakan bankterbesar di Indonesia.Hal ini menunjukan bahwa bank yang akan memberikant kontribusi risikokepada sistem sebesar nilai Delta CoVaR nya saat bank mengalami distress.Sebaliknya dari hasil pengukuran MES diketahui bahwa bank yang akanmemberikan kontribusi risiko sistemik terbesar saat sistem mengalami distressadalah BBRI. Hasil penelitian menunjukan bahwa karakteristik individu bankseperti ukuran bank dan VaR memiliki pengaruh yang signifikan terhadap besarkontribusi risiko sistemik bank di Indonesia. Kondisi makroekonomi seperti inflasisecara signifikan mempengaruhi nilai kontribusi risiko sistemik dari masingmasingbank di Indonesia.

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ABSTRACTThis thesis discusses the contribution of systemic risk and its relationshipwith the individual characteristics of banks in the Indonesian banking with theobservation period from 2003 until 2013. The method used to measure systemicrisk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).CoVaR looks ay the returns of the financial system when an institution is infinancial distress while MES looks at the returns of an institution when thefinancial system is in distress. From the results of measurements we found that thebank 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 ofDelta CoVaR bankswhile experiencing distress. On the other hand, the resultmeasurement of the MES is that BBRI will provide the largest contribution tosystemic risk when the system it experiencing distress.The results showed thatindividual characteristics such as bank size and VaR has a significant effect on thebank contribution to systemic risk in Indonesia. Macroeconomic conditions suchas inflation significantly affect the value of systemic risk contribution of each bankin Indonesia.;This thesis discusses the contribution of systemic risk and its relationshipwith the individual characteristics of banks in the Indonesian banking with theobservation period from 2003 until 2013. The method used to measure systemicrisk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).CoVaR looks ay the returns of the financial system when an institution is infinancial distress while MES looks at the returns of an institution when thefinancial system is in distress. From the results of measurements we found that thebank 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 ofDelta CoVaR bankswhile experiencing distress. On the other hand, the resultmeasurement of the MES is that BBRI will provide the largest contribution tosystemic risk when the system it experiencing distress.The results showed thatindividual characteristics such as bank size and VaR has a significant effect on thebank contribution to systemic risk in Indonesia. Macroeconomic conditions suchas inflation significantly affect the value of systemic risk contribution of each bankin Indonesia., This thesis discusses the contribution of systemic risk and its relationshipwith the individual characteristics of banks in the Indonesian banking with theobservation period from 2003 until 2013. The method used to measure systemicrisk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).CoVaR looks ay the returns of the financial system when an institution is infinancial distress while MES looks at the returns of an institution when thefinancial system is in distress. From the results of measurements we found that thebank 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 ofDelta CoVaR bankswhile experiencing distress. On the other hand, the resultmeasurement of the MES is that BBRI will provide the largest contribution tosystemic risk when the system it experiencing distress.The results showed thatindividual characteristics such as bank size and VaR has a significant effect on thebank contribution to systemic risk in Indonesia. Macroeconomic conditions suchas inflation significantly affect the value of systemic risk contribution of each bankin Indonesia.]"

"Jumlah leverage baik itu merupakan kategori on balance sheet leverage ataupun off balance sheet leverage telah memicu negara-negara di Asia Tenggara (Indonesia, Malaysia, Thailand, Filipina, Singapura dan Vietnam) mengalami krisis finansial pada tahun 1997-1998. Terlebih lagi, berdasarkan beberapa penelitian terdahulu terdapat trend kenaikan dari derivative leverage pada bank-bank di ASEAN, yang menjadi salah satu kontributor dalam memicu risiko sistemik. Penelitian ini bertujuan untuk mencari hubungan antara balance sheet leverage, derivative leverage, dan off balance sheet leverage terhadap risiko sistemik di negara-negara di ASEAN dari tahun 2009-2016. Penelitian ini juga mengamati urutan tiap-tiap bank yang menjadi kontributor risiko sistemik mulai dari yang terbesar. Penelitian ini menggunakan MES (Marginal Expected Shortfall) untuk mengukur kontribusi risiko sistemik dari setiap bank. Dengan dikontrol oleh beberapa variabel spesifik bank, derivative leverage menjadi variabel yang memiliki pengaruh paling kuat terhadap risiko sistemik.

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The excessive amount of leverage both on-balance sheet and off-balance sheet had led ASEAN countries (Such as Indonesia, Malaysia, Thailand, Philippines, Singapore and Vietnam) region to experience financial crisis in 1997-1998. Moreover. As suggested by previous studies, there is an increasing trend of derivative leverage of banks in ASEAN that become a contributor to systemic risk in several countries. Therefore, this study aims to examine the effect of on balance sheet leverage, derivative leverage, and off-balance sheet leverage on systemic risk in ASEAN  countries from 2009-2016. In addition, this study also ranks banks in ASEAN to find which bank has the highest contribution to systemic risk. This study uses MES (Marginal Expected Shortfall) to measure systemic risk contribution of each banks. We find that after controlling some banks specific variables, derivative leverage has the most significant effect on systemic risk."