Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258399 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 7 [Article No.:] 295 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research aims to seek intertheoretical model interaction and SIB ranking in concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent ranking compared with CoVaR and MES. CoVaR and MES had higher intermodel correlation converted to 59% similarity in rankings. Further, all theoretical models are in line with the Basel guidelines, where the closest approximation is at 47%. The results indicate that policy makers could use scholarly models as validation tools and help improve supervision decision to identify systemically important institutions.
Subjects: 
bank supervision
Basel
risk modelling
systemic bank
systemic risk
JEL: 
G21
G210
G28
G280
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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