Modelling Systemically Important Banks vis-à-vis the Basel Prudential Guidelines

Modelling Systemically Important Banks vis-à-vis the Basel Prudential Guidelines

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Modelling Systemically Important Banks vis-à-vis the Basel Prudential Guidelines

Our paper investigates Indonesia’s systemically important banks (SIBs) using theoretical approaches—CoVaR, marginal expected shortfall (MES), and SRISK—to compare with the Basel guidelines as benchmark. We use Indonesian banks’ market and supervisory data over the 2008–2019 period.

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