Pengaruh mes dan leverage terhadap realize systemic expected shortfall (ses) pada institusi keuangan di Indonesia

Yovinna, Erlyn (2018) Pengaruh mes dan leverage terhadap realize systemic expected shortfall (ses) pada institusi keuangan di Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

This Research measures systemic risk and proves the roles of MES and Leverage in explaining realized performance of financial institution during crisis. This research method involves financial instituion’s listed stock price data in BEI from 2006 to 2007 by Realized SES method. To explain Realized SES, risk measures such as ES, MES, Volatility, Beta, Log Asset, and Leverage are being used. Results indicated that sub sector Broker-Dealer Companies is the most risky among other financial institution in Indonesia. Unfortunately, this research is not capable of proving the roles of MES and Leverage in explaining Realized SES due to limites information and limited number of observation. / Penelitian ini mengukur risiko sistemik serta membuktikan peran MES dan Leverage dalam menjelaskan realisasi kinerja institusi keuangan dalam menghadapi krisis menggunakan data institusi keuangan yang tercatat di BEI periode 2006 hingga 2008 menggunakan metode Realized SES. Pengukuran risiko yang digunakan untuk menjelaskan Realized SES adalah ES, MES, Volatilitas, Beta, Log Asset, dan Leverage. Hasil penelitian menunjukan bahwa sub sektor Perusahaan Efek adalah yang paling berisiko sistemik pada sistem keuangan di Indonesia. Namun, penelitian ini tidak mampu membuktikan peran MES dan Leverage terhadap Realized SES dikarenakan keterbatasan informasi dan jumlah observasi.

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