MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL
This study implements a macroprudential stress test and develops the Economic Risk Weighted-Capital Adequacy Ratio (ERW-CAR) to evaluate the resilience of the Indonesian banking sector. The results show that the historical and one-year ahead predicted ERW-CARs are currently three percent lower than...
| Published in: | Buletin Ekonomi Moneter dan Perbankan |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Bank Indonesia
2020-02-01
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| Subjects: | |
| Online Access: | https://www.bmeb-bi.org/index.php/BEMP/article/view/1093 |
| _version_ | 1848651315486392320 |
|---|---|
| author | Shilvia Kurniawati Deddy Priatmodjo Koesrindartoto |
| author_facet | Shilvia Kurniawati Deddy Priatmodjo Koesrindartoto |
| author_sort | Shilvia Kurniawati |
| collection | DOAJ |
| container_title | Buletin Ekonomi Moneter dan Perbankan |
| description | This study implements a macroprudential stress test and develops the Economic
Risk Weighted-Capital Adequacy Ratio (ERW-CAR) to evaluate the resilience of the
Indonesian banking sector. The results show that the historical and one-year ahead
predicted ERW-CARs are currently three percent lower than the Indonesia regulatory
CAR, and continue to decrease by nearly two percent following an exchange rate shock.
However, the capital adequacy requirement stands above the eight percent threshold
and the banks are still able to optimize their capital allocation. |
| format | Article |
| id | doaj-e9117d96ecce45c8ba75cb7e8ed41d3f |
| institution | Directory of Open Access Journals |
| issn | 1410-8046 2460-9196 |
| language | English |
| publishDate | 2020-02-01 |
| publisher | Bank Indonesia |
| record_format | Article |
| spelling | doaj-e9117d96ecce45c8ba75cb7e8ed41d3f2025-11-03T01:04:09ZengBank IndonesiaBuletin Ekonomi Moneter dan Perbankan1410-80462460-91962020-02-0123112113810.21098/bemp.v23i1.10931093MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODELShilvia Kurniawati0Deddy Priatmodjo KoesrindartotoInstitut Teknologi BandungThis study implements a macroprudential stress test and develops the Economic Risk Weighted-Capital Adequacy Ratio (ERW-CAR) to evaluate the resilience of the Indonesian banking sector. The results show that the historical and one-year ahead predicted ERW-CARs are currently three percent lower than the Indonesia regulatory CAR, and continue to decrease by nearly two percent following an exchange rate shock. However, the capital adequacy requirement stands above the eight percent threshold and the banks are still able to optimize their capital allocation.https://www.bmeb-bi.org/index.php/BEMP/article/view/1093stress testcredit riskmacroprudential supervision |
| spellingShingle | Shilvia Kurniawati Deddy Priatmodjo Koesrindartoto MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL stress test credit risk macroprudential supervision |
| title | MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL |
| title_full | MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL |
| title_fullStr | MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL |
| title_full_unstemmed | MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL |
| title_short | MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL |
| title_sort | macroprudential stress testing the indonesian banking system using the credit risk model |
| topic | stress test credit risk macroprudential supervision |
| url | https://www.bmeb-bi.org/index.php/BEMP/article/view/1093 |
| work_keys_str_mv | AT shilviakurniawati macroprudentialstresstestingtheindonesianbankingsystemusingthecreditriskmodel AT deddypriatmodjokoesrindartoto macroprudentialstresstestingtheindonesianbankingsystemusingthecreditriskmodel |