Systemic risk, bank’s capital buffer, and leverage
This paper measures individual bank’s impact on banking systemic risk and examines the effect of individual bank’s capital buffer and leverage to bank’s systemic risk impact in Indonesia during 2010-2014. Using Merton’s distance-to-default to measure systemic risk, the study shows a significant neg...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2017-10-01
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| Series: | Economic Journal of Emerging Markets |
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| Online Access: | http://journal.uii.ac.id/JEP/article/view/7288 |
| _version_ | 1818009094420692992 |
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| author | Buddi Wibowo |
| author_facet | Buddi Wibowo |
| author_sort | Buddi Wibowo |
| collection | DOAJ |
| description |
This paper measures individual bank’s impact on banking systemic risk and examines the effect of individual bank’s capital buffer and leverage to bank’s systemic risk impact in Indonesia during 2010-2014. Using Merton’s distance-to-default to measure systemic risk, the study shows a significant negative relationship between bank’s capital buffer and systemic risk. High capital buffer tends to lowering bank’s impact on systemic risk. Bank’s leverage level also influences its contribution to systemic risk, even though the impact is much lower compared to that of capital buffer impact.
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| first_indexed | 2024-04-14T05:37:47Z |
| format | Article |
| id | doaj.art-d0bec5816bc7479a802dd2b455368b05 |
| institution | Directory Open Access Journal |
| issn | 2086-3128 2502-180X |
| language | English |
| last_indexed | 2024-04-14T05:37:47Z |
| publishDate | 2017-10-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Economic Journal of Emerging Markets |
| spelling | doaj.art-d0bec5816bc7479a802dd2b455368b052022-12-22T02:09:34ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2017-10-019210.20885/ejem.vol9.iss2.art47197Systemic risk, bank’s capital buffer, and leverageBuddi Wibowo0Department of Management, Economic and Business Faculty, Universitas Indonesia, Jakarta This paper measures individual bank’s impact on banking systemic risk and examines the effect of individual bank’s capital buffer and leverage to bank’s systemic risk impact in Indonesia during 2010-2014. Using Merton’s distance-to-default to measure systemic risk, the study shows a significant negative relationship between bank’s capital buffer and systemic risk. High capital buffer tends to lowering bank’s impact on systemic risk. Bank’s leverage level also influences its contribution to systemic risk, even though the impact is much lower compared to that of capital buffer impact. http://journal.uii.ac.id/JEP/article/view/7288Systemic riskbank competitiondistance-to-defaultcapital buff-erleverage |
| spellingShingle | Buddi Wibowo Systemic risk, bank’s capital buffer, and leverage Economic Journal of Emerging Markets Systemic risk bank competition distance-to-default capital buff-er leverage |
| title | Systemic risk, bank’s capital buffer, and leverage |
| title_full | Systemic risk, bank’s capital buffer, and leverage |
| title_fullStr | Systemic risk, bank’s capital buffer, and leverage |
| title_full_unstemmed | Systemic risk, bank’s capital buffer, and leverage |
| title_short | Systemic risk, bank’s capital buffer, and leverage |
| title_sort | systemic risk bank s capital buffer and leverage |
| topic | Systemic risk bank competition distance-to-default capital buff-er leverage |
| url | http://journal.uii.ac.id/JEP/article/view/7288 |
| work_keys_str_mv | AT buddiwibowo systemicriskbankscapitalbufferandleverage |