Date: 27-10-2020 Digital Publication Services : JABM | JAM | ABMR | ABMCS | BLOG

Faculty Research

RISK OF INDONESIAN BANKS: APPLYING HISTORICAL EXPECTED SHORTFALL METHOD

Detail
Author SITI MUNFAQIROH (Tim: Anggota 2)
ID 202.710.232
Published Date 01-01-1900

Abstract

RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD Nevi Danila Bunyamin Siti Munfaqiroh Abstrak 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 o the 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 meand that the state owned banks had the highest risk were the most aggressive among Indonesian banks. It might be due to carrying some of the gomernment's program, such as small enterprise loans. Keyword: expected shortfall, value at risk, banks, risk.