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 |
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| 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 |