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RISK OF INDONESIAN BANKS: APPLYING HISTORICAL EXPECTED SHORTFALL METHOD
| Detail | |
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| Author | BUNYAMIN (Tim: Anggota 1) |
| ID | 202.710.182 |
| Published Date | 22-02-2013 |
Abstract
Abstract Asian and European Crises were witnesses of banks' vulnerable due to market risks. Basel Committee requires an internal risk assessment applying VaR. However, a replacement of VaR with expected Shortfall is suggested recently due to excess loss produced by banks which are beyond VaR estimation. 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 turned up that state owned banks placed among the five highest value of each component (net position) in the balance sheet. It means that the state owned banks had the highest risk and the most aggressive among Indonesian banks. Key words: Historical Expected Shortfall, Indonesian Banks, Banks' risk, Risk assessment