Buletin Ekonomi Moneter dan Perbankan
Vol 23 No 1 (2020)

MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL

Shilvia Kurniawati (Institut Teknologi Bandung)
Deddy Priatmodjo Koesrindartoto (Institut Teknologi Bandung)

Article Info

Publish Date
29 Feb 2020

Abstract

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.

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Journal Info
Buletin Ekonomi Moneter dan Perbankan
Website

Abbrev

BEMP

Publisher

Bank Indonesia

Subject

Description

The Buletin Ekonomi Moneter dan Perbankan/Bulletin of Monetary Economics and Banking (BMEB) is an international peer-reviewed journal. This is a quarterly journal, published in January, April, July and August. The BMEB focuses on a broad range of topics covering monetary economics, banking, ...