Indonesia Conference Directory

Corresponding Author
Rudi Purwono

Institutions
Department of Economics
Faculty of Economics and Business
Universitas Airlangga

Abstract
The 2008 Global Financial Crisis makes systemic risk one of the focuses of research that continues to grow and makes the financial sector the center of analysis. The banking crisis is one of the sources of the financial crisis. This study attempts to analyze how the influence of bank internal variables and macroeconomics on systemic risk. Measurement of risk contribution uses the conditional value-at-risk (CoVaR) model of Adrian and Brunnermeier (2016). The results of the study show that there are influences between internal banking and macroeconomic variables on systemic risk in Indonesia. The latest results of this study refute the doctrine of "Too Big To Fail" which has been valid.

Keywords
Systemic Risk; Delta-CoVaR; Banking

Topic
Risk Assessment

Link: https://ifory.id/abstract/AcKtLVWwREQr