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.