Abstract:
This study provides an insight to the individual, systematic, and systemic risk levels of large
commercial banks in Indonesia and their determinants. Panel data regression is employed using
random, fixed, and common effects respectively, following the results of Chow, Hausman, and LM
tests. The sample covers 10 largest commercial banks for 13 consecutive years from 2006 to 2018
by both book value of total assets and market capitalization in Indonesia. Banks size, leverage,
funding structure, and market-based activities are selected as the common bank-specific factors
with findings indicating significant influence of bank’s size on both individual and systematic risks,
although in opposite directions. Finally, the results revealed significant negative impacts of both
stock volatility (δ) and beta (β) on systemic risk.
