MODIFIED COVAR AND RISK RATING TO THE INDONESIAN STOCK MARKET : BANKING SUB SECTOR
Financial institutions play an important role in the growth of Indonesia economics. The default in banking sector could partially, or even totally prompt the national economic instability. Therefore, it is crucial to be able to measure the systemic risk. One of the most common method to measure syst...
Saved in:
| Main Author: | |
|---|---|
| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/22164 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Financial institutions play an important role in the growth of Indonesia economics. The default in banking sector could partially, or even totally prompt the national economic instability. Therefore, it is crucial to be able to measure the systemic risk. One of the most common method to measure systemic risk is ∆CoVaR defined as the difference between the CoVaR of the financial system conditional on an institution being in distress and the CoVaR conditional on the median state of the institution. The estimation of CoVaR will be using Bivariate Normal, Cholesky Decomposition, and Conditional PDF. The conditional on an institution is VaR which the volatility can be estimate using time series model GARCH(1,1). This thesis aims to further develop call ∆ModCoVaR method so that it could include more information coverage that will not be affected by extreme value of stock price on one day and also the conditional of the institution change from VaR to maximum loss. ∆ModCoVaR risk measure is more flexible in measuring systemic risk than ∆CoVaR. This thesis will discuss about risk level which is used by central bank to give bailout when systemic risk occur. |
|---|