THE DETERMINANTS OF INDIVIDUAL, SYSTEMATIC, AND SYSTEMIC RISKS OF INDONESIAN COMMERCIAL BANKS

dc.contributor.author	Setiawan, Chandra and Chong Mi An
dc.date.accessioned	2023-01-12T04:19:52Z
dc.date.available	2023-01-12T04:19:52Z
dc.date.issued	2021
dc.identifier.uri	http://repository.president.ac.id/xmlui/handle/123456789/10673
dc.description	Academy of Accounting and Financial Studies Journal Volume 25, Special Issue 3, 2021. p. 1-14.	en_US
dc.description.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.	en_US
dc.language.iso	en_US	en_US
dc.subject	Systematic Risk	en_US
dc.subject	Beta	en_US
dc.subject	Systemic Risk	en_US
dc.subject	Marginal Expected Shortfall	en_US
dc.title	THE DETERMINANTS OF INDIVIDUAL, SYSTEMATIC, AND SYSTEMIC RISKS OF INDONESIAN COMMERCIAL BANKS	en_US
dc.type	Other	en_US