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...

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Bibliographic Details
Published in:	Buletin Ekonomi Moneter dan Perbankan
Main Authors:	Shilvia Kurniawati, Deddy Priatmodjo Koesrindartoto
Format:	Article
Language:	English
Published:	Bank Indonesia 2020-02-01
Subjects:	stress test credit risk macroprudential supervision
Online Access:	https://www.bmeb-bi.org/index.php/BEMP/article/view/1093

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