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...

書誌詳細
出版年:	Buletin Ekonomi Moneter dan Perbankan
主要な著者:	Shilvia Kurniawati, Deddy Priatmodjo Koesrindartoto
フォーマット:	論文
言語:	英語
出版事項:	Bank Indonesia 2020-02-01
主題:	stress test credit risk macroprudential supervision
オンライン･アクセス:	https://www.bmeb-bi.org/index.php/BEMP/article/view/1093

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