Buletin

Risk Of Indonesian Banks: An Application Of Historical Expected Shortfall Method (Vol.17 No.3 Januari 2015)

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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.

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Ketersediaan

Informasi Detail

Judul Seri

Buletin Ekonomi Moneter dan Pebankan

No. Panggil

BEMP15-17.3

Penerbit

Jakarta : Bnk Indonesia., 2015

Deskripsi Fisik

Hlm.261-356: 299: ilus,; 26 cm

Bahasa

English

ISBN/ISSN

1907-7505

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

Vol.17 No.3 Januari 2015

Subjek

expected shortfall
Bank and value at risk

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Nevi Danila,

Versi lain/terkait

Lampiran Berkas

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