Modelling Systemically Important Banks vis-à-vis the Basel Prudential Guidelines

Journal of Risk and Financial Management

M. Zulkifli Salim¹  Kevin Daly² 

[1] Financial Services Authority, Jakarta 12710, Indonesia;School of Business, Western Sydney University, Penrith, NSW 2151, Australia;

关键词: systemic bank;    systemic risk;    risk modelling;    Basel;    bank supervision;   

DOI  :  10.3390/jrfm14070295

来源: DOAJ

【 摘 要 】

Our paper investigates Indonesia’s systemically important banks (SIBs) using theoretical approaches—CoVaR, marginal expected shortfall (MES), and SRISK—to compare with the Basel guidelines as benchmark. We use Indonesian banks’ market and supervisory data over the 2008–2019 period. The research aims to seek intertheoretical model interaction and SIB ranking in concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent ranking compared with CoVaR and MES. CoVaR and MES had higher intermodel correlation converted to 59% similarity in rankings. Further, all theoretical models are in line with the Basel guidelines, where the closest approximation is at 47%. The results indicate that policy makers could use scholarly models as validation tools and help improve supervision decision to identify systemically important institutions.

【 授权许可】

Unknown