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 … concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …

This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample … banks experience positive abnormal equity returns and tighter CDS spreads, while failing banks show strong drops in equity … evaluating strategic options for affected banks and investors …

This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample … banks experience positive abnormal equity returns and tighter CDS spreads, while failing banks show strong drops in equity … evaluating strategic options for affected banks and investors. …

The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as … the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … banking (i.e., to model risk from a systemic point of view and not only from the perspective of an individual bank). As the …