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

  • Shilvia Kurniawati Institut Teknologi Bandung
  • Deddy Priatmodjo Koesrindartoto Institut Teknologi Bandung
Keywords: Stress test, Credit risk, Macroprudential supervision

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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Published
2020-02-29
How to Cite
Kurniawati, S., & Koesrindartoto, D. (2020). MACROPRUDENTIAL STRESS-TESTING THE INDONESIAN BANKING SYSTEM USING THE CREDIT RISK MODEL. Buletin Ekonomi Moneter Dan Perbankan, 23(1), 121 - 138. https://doi.org/10.21098/bemp.v23i1.1093
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Articles