Document Type
Article
Abstract
Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans.
Recommended Citation
Danila, Nevi; Bunyamin, Bunyamin; and Munfaqiroh, Siti
(2015)
"RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD,"
Bulletin of Monetary Economics and Banking: Vol. 17:
No.
3, Article 5.
DOI: https://doi.org/10.21098/bemp.v17i3.3
Available at:
https://bulletin.bmeb-bi.org/bmeb/vol17/iss3/5
First Page
299
Last Page
314
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Country
Indonesia
Affiliation
Malangkucecwara School of Economics
