MODIFIED COVAR AS MEASUREMENT FOR BANKING INSTITUTION TO MARKET STOCK IN INDONESIA
The banking sector holds the majority of industrial assets in Indonesia so that it can cause systemically crisis to financial system in Indonesia. Therefore, the banking <br /> <br /> <br /> institution’s systemic risk need to be investigated by using ΔCoVaR model....
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/22117 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | The banking sector holds the majority of industrial assets in Indonesia so that it can cause systemically crisis to financial system in Indonesia. Therefore, the banking <br />
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institution’s systemic risk need to be investigated by using ΔCoVaR model. In this Final Project, ΔCoVaR’s specification is replaced by the maximum value of the generated data of rate of loss for the banking institution. So that, the modified model will result the more sensitive measurement of systemic risk. Beside that, the data of rate of loss for ΔCoVaR use one day observation but for the modified model, the data use the longer length of observation in order to make the model has more information and the extreme changing price in one day will have no effect to the model. The modified ΔCoVaR will be called as ΔModCoVaR. Using those model, the banking institution will be sorted from the biggest to the smallest. The ranking for ΔCoVaR and ΔModCoVaR have different order. The difference is caused by different correlation (between the institution and the system) value for ΔCoVaR and ΔModCoVaR. |
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