Brawijaya University - Indonesia
ORCID: http://orcid.org/0000-0003-3943-9240
Profile:
http://rihanasofie988551896.wordpress.com
Department of Economics
DETEKSI RISIKO SISTEMIK DAN KETERKAITAN KEUANGAN: STUDI PADA INSTITUSI KEUANGAN DI INDONESIA
Rihana Sofie Nabella
Setyo Tri Wahyudi
University of Brawijaya - Indonesia
ORCID: http://orcid.org/0000-0002-0211-1762
Profile:
http://setyotriwahyudi.lecture.ub.ac.id/profil/
Department of Economics
Dewani Indah Tawakalni
University of Brawijaya - Indonesia
ORCID: http://orcid.org/0000-0001-7990-4704
Profile:
http://www.facebook.com/public/Indah-Dewani
Department of Economics
(*) Corresponding Author
The purpose of this study is to measure systemic risk and financial linkages in financial institutions in Indonesia. The financial sector plays a vital role in the economy. On the other hand, this sector is also vulnerable to crises or risks, one of which is systemic risk. This study uses a sample 20 financial institutions from January 2012 to December 2018 with the Conditional Value at Risk (CoVaR) model. The results obtained show that the size of an institution does not determine the amount of systemic risk contribution. Based on the average systemic risk contribution obtained that insurance companies become the largest contributor to systemic risk.
Keywords: systemic risk, financial linkage, financial institution
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