Tamalo, Nerissa Dhea Arviana (2025) Analisis Risiko Sistemik Antar Saham Subsektor Perbankan di Bursa Efek Indonesia Menggunakan Conditional Value-At-Risk dengan Pendekatan Regresi Kuantil. Other thesis, Institut Teknologi Sepuluh Nopember.
![[thumbnail of 5003211091_Undergraduate_Thesis.pdf]](http://repository.its.ac.id/style/images/fileicons/text.png) |
Text
5003211091_Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only Download (5MB) | Request a copy |
Abstract
Subsektor perbankan memiliki peran strategis dalam sistem keuangan Indonesia karena tingginya keterkaitan antar institusi di dalamnya. Kondisi ini membuatnya rentan terhadap risiko sistemik, yaitu potensi penyebaran krisis akibat gangguan pada satu entitas. Penelitian ini bertujuan untuk mengukur dan menganalisis risiko sistemik antar saham bank di Bursa Efek Indonesia menggunakan Conditional Value-at-Risk (CoVaR) berbasis regresi kuantil. Objek penelitian mencakup lima saham bank dengan kapitalisasi pasar tertinggi, yaitu BBCA, BBRI, BMRI, BBNI, dan BRIS selama periode 1 Januari 2023 hingga 1 Desember 2024. Metode yang digunakan mencakup uji kausalitas Granger untuk melihat keterkaitan antar saham, Value-at-Risk (VaR) dengan pendekatan Extreme Value Theory (EVT), serta pengukuran CoVaR untuk menilai kontribusi risiko sistemik. Model divalidasi melalui backtesting menggunakan Expected Shortfall dan Kupiec test. Hasilnya menunjukkan bahwa BMRI dan BBNI memberikan pengaruh langsung terhadap return beberapa saham lain pada kondisi ekstrem, yang mengindikasikan adanya kontribusi terhadap risiko sistemik. BRIS memiliki risiko individu tertinggi, dan BBCA paling stabil. Model CoVaR terbukti lebih valid dan stabil dibandingkan VaR, baik pada kuantil 1% maupun 5%. Penelitian ini memberikan wawasan bagi investor dan regulator dalam memitigasi risiko sistemik di sektor keuangan Indonesia.
==================================================================================================================================
The banking subsektor plays a strategic role in Indonesia’s financial system due to the high interconnection among institutions, making it vulnerable to systemic risk. This refers to the potential for widespread financial distress iriggered by the failure of a single entity. This study aims to measure and analyze systemic risk among banking stocks listed on the Indonesia Stock Exchange using Conditional Value-at-Risk (CoVaR) based on quantile regression. The analysis covers five major banks which is BBCA, BBRI, BMRI, BBNI, and BRIS, during the period from January 1, 2023 to December 1, 2024. The methods applied include Granger Causality Test to identify stock interconnections, Value-at-Risk (VaR) using the Extreme Value Theory (EVT), and CoVaR estimation to assess each stock’s contribution to systemic risk. The accuracy of both models is evaluated using backtesting with Expected Shortfall and Kupiec test. The results show that BMRI and BBNI have a direct influence on the returns of several other stocks under extreme conditions, indicating a contribution to systemic risk. BRIS exhibits the highest individual risk, while BBCA remains the most stable. CoVaR provides more valid and consistent results than VaR at both 1% and 5% quantiles. This study offers insights for investors and regulators in managing systemic risks in Indonesia’s banking sector.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | BEI Stock, Systemic Risk, Granger Causality Test, CoVaR, Quantile Regression. |
| Subjects: | H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HG Finance > HG4915 Stocks--Prices H Social Sciences > HG Finance > HG8054.5 Risk (Insurance) |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Nerissa Dhea Arviana Tamalo |
| Date Deposited: | 01 Aug 2025 09:07 |
| Last Modified: | 01 Aug 2025 09:07 |
| URI: | http://repository.its.ac.id/id/eprint/125698 |
Actions (login required)
 |
View Item |