<![endif]-->. Dalam penelitian ini menggunakan regresi kuantil untuk estimasi Conditional Value at Risk dengan sampel yang digunakan sebanyak 15 Bank Umum Syariah di Indonesia periode Januari 2013 sampai Juni 2023. Berdasarkan hasil penelitian ini, pada saat sebelum pandemi Covid-19 dengan periode penelitian 2013 sampai 2019 Bank Victoria Syariah memiliki nilai VaR tertinggi yakni sebesar -33,46 persen. Sedangkan pada saat pandemi Covid-19 dengan periode penelitian 2020 sampai 2023 nilai VaR tertinggi adalah Bank Bukopin Syariah sebesar -187,18 persen. Nilai VaR pada suatu individu bank umum syariah ini bisa digunakan untuk menggambarkan risiko pada sistem perbankan. Dapat diketahui bahwa tingkat risiko sistemik individu bank (CoVaR) sebelum masa pandemi Covid-19 adalah Bank Bukopin Syariah sebesar -16,79 persen dan juga memiliki tingkat kontribusi terhadap sistem yang tertinggi. Sedangkan pada masa pandemi Covid-19,untuk tingkat risiko sistemik individu bank yang tertinggi adalah Bank Muamalat Indonesia sebesar -1,04 persen dengan tingkat kontribusi terhadap sistem yang tertinggi pula. Maka dari itu, bank yang mempunyai risiko individual yang tinggi belum tentu mempunyai kontribusi risiko sistemik yang tinggi pula. Financial linkage antarbank akan memberikan risiko tambahan selain dari risiko individu bank itu sendiri. Pada masa sebelum pandemi Covid-19, bank dengan rata-rata financial linkage terbesar yakni Bank Panin Syariah sebesar 28.94 persen. Dan pada masa Pandemi Covid-19 adalah BTPN Syariah sebesar 2,32 persen. Dapat disimpulkan bahwa setiap bank mempunyai eksternalitas terhadap sistem perbankan, sehingga dugaan terhadap potensi risiko sistemik perlu diperhatikan oleh regulator. Besarnya aset bank dan risiko individual bank tidak mampu menentukan kontribusi risiko sistemik. Dengan begitu, bank kecil dan bank besar sama-sama bisa mengancam tingkat stabilitas sistem keuangan. Banks have several different methods, the application of which depends on the objectives for the financing or credit. This research aims to measure systemic risk and financial linkages so as to explain the effects of contagion in the banking system before the Covid-19 pandemic and during the Covid-19 pandemic by applying a method that can calculate predictions of capital losses in banks when the market is hit by a crisis such as during the Covid pandemic. -19, This research uses the Conditional Value at Risk (CoVaR) model developed by <!--[if supportFields]>ADDIN CSL_CITATION {"citationItems":[{"id":"ITEM-1","itemData":{"ISSN":"0898-2937","abstract":"Full-text copies of all issues are available in electronic format at the NBER web site.","author":[{"dropping-particle":"","family":"Adrian","given":"Tobias","non-dropping-particle":"","parse-names":false,"suffix":""},{"dropping-particle":"","family":"Brunnermeier","given":"Markus K.","non-dropping-particle":"","parse-names":false,"suffix":""}],"container-title":"National Bureau of Economic Research","id":"ITEM-1","issue":"Working Paper 17454","issued":{"date-parts":[["2011"]]},"title":"COVAR. Working Paper 17454","type":"article-journal"},"uris":["http://www.mendeley.com/documents/?uuid=c362e2c1-04ef-3f67-a482-230f14f5a1e7"]}],"mendeley":{"formattedCitation":"(Adrian & Brunnermeier, 2011)","manualFormatting":"Adrian & Brunnermeier (2011)","plainTextFormattedCitation":"(Adrian & Brunnermeier, 2011)"},"properties":{"noteIndex":0},"schema":"https://github.com/citation-style-language/schema/raw/master/csl-citation.json"}<![endif]-->Adrian & Brunnermeier (2011)<!--[if supportFields]><![endif]-->. In this study, quantile regression was used to estimate Conditional Value at Risk with a sample of 15 Islamic Banking in Indonesia for the period January 2013 to June 2023. Based on the results of this study, before the Covid-19 pandemic, the research period was 2013 to 2019, Bank Victoria Sharia has the highest VaR, namely -33.46 percent. Meanwhile, during the Covid-19 pandemic with the research period 2020 to 2023, the highest VaR was Bank Bukopin Syariah at -187.18 percent. The VaR value for an individual sharia commercial bank can be used to describe the risk in the banking system. It can be seen that the level of individual bank systemic risk (CoVaR) before the Covid-19 pandemic was Bank Bukopin Syariah at -16.79 percent and also had the highest level of contribution to the system. Meanwhile, during the Covid-19 pandemic, the highest level of systemic risk for individual banks was Bank Muamalat Indonesia at -1.04 percent with the highest level of contribution to the system. Therefore, banks that have high individual risk do not necessarily have a high systemic risk contribution as well. Financial linkage between banks will provide additional risks apart from the risks of the individual banks themselves. In the period before the Covid-19 pandemic, the bank with the largest average financial linkage was Bank Panin Syariah at 28.94 percent. And during the Covid-19 pandemic, BTPN Syariah was 2.32 percent. It can be concluded that every bank has externalities to the banking system, so allegations of potential systemic risks need to be considered by regulators. The size of bank assets and individual bank risks are unable to determine the contribution of systemic risk. In this way, small banks and large banks can both threaten the level of stability of the financial system."> <![endif]-->. Dalam penelitian ini menggunakan regresi kuantil untuk estimasi Conditional Value at Risk dengan sampel yang digunakan sebanyak 15 Bank Umum Syariah di Indonesia periode Januari 2013 sampai Juni 2023. Berdasarkan hasil penelitian ini, pada saat sebelum pandemi Covid-19 dengan periode penelitian 2013 sampai 2019 Bank Victoria Syariah memiliki nilai VaR tertinggi yakni sebesar -33,46 persen. Sedangkan pada saat pandemi Covid-19 dengan periode penelitian 2020 sampai 2023 nilai VaR tertinggi adalah Bank Bukopin Syariah sebesar -187,18 persen. Nilai VaR pada suatu individu bank umum syariah ini bisa digunakan untuk menggambarkan risiko pada sistem perbankan. Dapat diketahui bahwa tingkat risiko sistemik individu bank (CoVaR) sebelum masa pandemi Covid-19 adalah Bank Bukopin Syariah sebesar -16,79 persen dan juga memiliki tingkat kontribusi terhadap sistem yang tertinggi. Sedangkan pada masa pandemi Covid-19,untuk tingkat risiko sistemik individu bank yang tertinggi adalah Bank Muamalat Indonesia sebesar -1,04 persen dengan tingkat kontribusi terhadap sistem yang tertinggi pula. Maka dari itu, bank yang mempunyai risiko individual yang tinggi belum tentu mempunyai kontribusi risiko sistemik yang tinggi pula. Financial linkage antarbank akan memberikan risiko tambahan selain dari risiko individu bank itu sendiri. Pada masa sebelum pandemi Covid-19, bank dengan rata-rata financial linkage terbesar yakni Bank Panin Syariah sebesar 28.94 persen. Dan pada masa Pandemi Covid-19 adalah BTPN Syariah sebesar 2,32 persen. Dapat disimpulkan bahwa setiap bank mempunyai eksternalitas terhadap sistem perbankan, sehingga dugaan terhadap potensi risiko sistemik perlu diperhatikan oleh regulator. Besarnya aset bank dan risiko individual bank tidak mampu menentukan kontribusi risiko sistemik. Dengan begitu, bank kecil dan bank besar sama-sama bisa mengancam tingkat stabilitas sistem keuangan. Banks have several different methods, the application of which depends on the objectives for the financing or credit. This research aims to measure systemic risk and financial linkages so as to explain the effects of contagion in the banking system before the Covid-19 pandemic and during the Covid-19 pandemic by applying a method that can calculate predictions of capital losses in banks when the market is hit by a crisis such as during the Covid pandemic. -19, This research uses the Conditional Value at Risk (CoVaR) model developed by <!--[if supportFields]>ADDIN CSL_CITATION {"citationItems":[{"id":"ITEM-1","itemData":{"ISSN":"0898-2937","abstract":"Full-text copies of all issues are available in electronic format at the NBER web site.","author":[{"dropping-particle":"","family":"Adrian","given":"Tobias","non-dropping-particle":"","parse-names":false,"suffix":""},{"dropping-particle":"","family":"Brunnermeier","given":"Markus K.","non-dropping-particle":"","parse-names":false,"suffix":""}],"container-title":"National Bureau of Economic Research","id":"ITEM-1","issue":"Working Paper 17454","issued":{"date-parts":[["2011"]]},"title":"COVAR. Working Paper 17454","type":"article-journal"},"uris":["http://www.mendeley.com/documents/?uuid=c362e2c1-04ef-3f67-a482-230f14f5a1e7"]}],"mendeley":{"formattedCitation":"(Adrian & Brunnermeier, 2011)","manualFormatting":"Adrian & Brunnermeier (2011)","plainTextFormattedCitation":"(Adrian & Brunnermeier, 2011)"},"properties":{"noteIndex":0},"schema":"https://github.com/citation-style-language/schema/raw/master/csl-citation.json"}<![endif]-->Adrian & Brunnermeier (2011)<!--[if supportFields]><![endif]-->. In this study, quantile regression was used to estimate Conditional Value at Risk with a sample of 15 Islamic Banking in Indonesia for the period January 2013 to June 2023. Based on the results of this study, before the Covid-19 pandemic, the research period was 2013 to 2019, Bank Victoria Sharia has the highest VaR, namely -33.46 percent. Meanwhile, during the Covid-19 pandemic with the research period 2020 to 2023, the highest VaR was Bank Bukopin Syariah at -187.18 percent. The VaR value for an individual sharia commercial bank can be used to describe the risk in the banking system. It can be seen that the level of individual bank systemic risk (CoVaR) before the Covid-19 pandemic was Bank Bukopin Syariah at -16.79 percent and also had the highest level of contribution to the system. Meanwhile, during the Covid-19 pandemic, the highest level of systemic risk for individual banks was Bank Muamalat Indonesia at -1.04 percent with the highest level of contribution to the system. Therefore, banks that have high individual risk do not necessarily have a high systemic risk contribution as well. Financial linkage between banks will provide additional risks apart from the risks of the individual banks themselves. In the period before the Covid-19 pandemic, the bank with the largest average financial linkage was Bank Panin Syariah at 28.94 percent. And during the Covid-19 pandemic, BTPN Syariah was 2.32 percent. It can be concluded that every bank has externalities to the banking system, so allegations of potential systemic risks need to be considered by regulators. The size of bank assets and individual bank risks are unable to determine the contribution of systemic risk. In this way, small banks and large banks can both threaten the level of stability of the financial system.">
Laporkan Masalah

Mengukur Risiko Sistemik pada Bank Umum Syariah di Indonesia Tahun 2013-2023

Indah Maesaroh, Prof. Dr. Samsubar Saleh, M.Soc., Sc.

2024 | Tesis | S2 Agama dan Lintas Budaya

Bank mempunyai beberapa metode yang berbeda yang penerapannya tergantung pada tujuan dari pihak yang mengajukan pembiayaan tersebut. Penelitian ini memiliki tujuan untuk mengukur risiko sistemik dan keterkaitan keuangan sehingga mampu menjelaskan efek penularan dalam sistem perbankan sebelum pandemi Covid-19 dan ketika pandemi Covid-19 dengan melalui aplikasi metode yang bisa mengkalkulasikan prediksi kerugian modal pada bank tatkala pasar dilanda krisis seperti pada pandemi Covid-19. Penelitian ini menggunakan model Conditional Value at Risk (CoVaR) yang dikembangkan oleh <!--[if supportFields]>ADDIN CSL_CITATION {"citationItems":[{"id":"ITEM-1","itemData":{"ISSN":"0898-2937","abstract":"Full-text copies of all issues are available in electronic format at the NBER web site.","author":[{"dropping-particle":"","family":"Adrian","given":"Tobias","non-dropping-particle":"","parse-names":false,"suffix":""},{"dropping-particle":"","family":"Brunnermeier","given":"Markus K.","non-dropping-particle":"","parse-names":false,"suffix":""}],"container-title":"National Bureau of Economic Research","id":"ITEM-1","issue":"Working Paper 17454","issued":{"date-parts":[["2011"]]},"title":"COVAR. Working Paper 17454","type":"article-journal"},"uris":["http://www.mendeley.com/documents/?uuid=c362e2c1-04ef-3f67-a482-230f14f5a1e7"]}],"mendeley":{"formattedCitation":"(Adrian & Brunnermeier, 2011)","manualFormatting":"Adrian & Brunnermeier (2011)","plainTextFormattedCitation":"(Adrian & Brunnermeier, 2011)","previouslyFormattedCitation":"(Adrian & Brunnermeier, 2011)"},"properties":{"noteIndex":0},"schema":"https://github.com/citation-style-language/schema/raw/master/csl-citation.json"}<![endif]-->Adrian & Brunnermeier (2011)<!--[if supportFields]><![endif]-->. Dalam penelitian ini menggunakan regresi kuantil untuk estimasi Conditional Value at Risk dengan sampel yang digunakan sebanyak 15 Bank Umum Syariah di Indonesia periode Januari 2013 sampai Juni 2023. Berdasarkan hasil penelitian ini, pada saat sebelum pandemi Covid-19 dengan periode penelitian 2013 sampai 2019 Bank Victoria Syariah memiliki nilai VaR tertinggi yakni sebesar -33,46 persen. Sedangkan pada saat pandemi Covid-19 dengan periode penelitian 2020 sampai 2023 nilai VaR tertinggi adalah Bank Bukopin Syariah sebesar -187,18 persen. Nilai VaR pada suatu individu bank umum syariah ini bisa digunakan untuk menggambarkan risiko pada sistem perbankan. Dapat diketahui bahwa tingkat risiko sistemik individu bank (CoVaR) sebelum masa pandemi Covid-19 adalah Bank Bukopin Syariah sebesar -16,79 persen dan juga memiliki tingkat kontribusi terhadap sistem yang tertinggi. Sedangkan pada masa pandemi Covid-19,untuk tingkat risiko sistemik individu bank yang tertinggi adalah Bank Muamalat Indonesia sebesar -1,04 persen dengan tingkat kontribusi terhadap sistem yang tertinggi pula. Maka dari itu, bank yang mempunyai risiko individual yang tinggi belum tentu mempunyai kontribusi risiko sistemik yang tinggi pula. Financial linkage antarbank akan memberikan risiko tambahan selain dari risiko individu bank itu sendiri. Pada masa sebelum pandemi Covid-19, bank dengan rata-rata financial linkage terbesar yakni Bank Panin Syariah sebesar 28.94 persen. Dan pada masa Pandemi Covid-19 adalah BTPN Syariah sebesar 2,32 persen. Dapat disimpulkan bahwa setiap bank mempunyai eksternalitas terhadap sistem perbankan, sehingga dugaan terhadap potensi risiko sistemik perlu diperhatikan oleh regulator. Besarnya aset bank dan risiko individual bank tidak mampu menentukan kontribusi risiko sistemik. Dengan begitu, bank kecil dan bank besar sama-sama bisa mengancam tingkat stabilitas sistem keuangan.

Banks have several different methods, the application of which depends on the objectives for the financing or credit. This research aims to measure systemic risk and financial linkages so as to explain the effects of contagion in the banking system before the Covid-19 pandemic and during the Covid-19 pandemic by applying a method that can calculate predictions of capital losses in banks when the market is hit by a crisis such as during the Covid pandemic. -19, This research uses the Conditional Value at Risk (CoVaR) model developed by <!--[if supportFields]>ADDIN CSL_CITATION {"citationItems":[{"id":"ITEM-1","itemData":{"ISSN":"0898-2937","abstract":"Full-text copies of all issues are available in electronic format at the NBER web site.","author":[{"dropping-particle":"","family":"Adrian","given":"Tobias","non-dropping-particle":"","parse-names":false,"suffix":""},{"dropping-particle":"","family":"Brunnermeier","given":"Markus K.","non-dropping-particle":"","parse-names":false,"suffix":""}],"container-title":"National Bureau of Economic Research","id":"ITEM-1","issue":"Working Paper 17454","issued":{"date-parts":[["2011"]]},"title":"COVAR. Working Paper 17454","type":"article-journal"},"uris":["http://www.mendeley.com/documents/?uuid=c362e2c1-04ef-3f67-a482-230f14f5a1e7"]}],"mendeley":{"formattedCitation":"(Adrian & Brunnermeier, 2011)","manualFormatting":"Adrian & Brunnermeier (2011)","plainTextFormattedCitation":"(Adrian & Brunnermeier, 2011)"},"properties":{"noteIndex":0},"schema":"https://github.com/citation-style-language/schema/raw/master/csl-citation.json"}<![endif]-->Adrian & Brunnermeier (2011)<!--[if supportFields]><![endif]-->. In this study, quantile regression was used to estimate Conditional Value at Risk with a sample of 15 Islamic Banking in Indonesia for the period January 2013 to June 2023. Based on the results of this study, before the Covid-19 pandemic, the research period was 2013 to 2019, Bank Victoria Sharia has the highest VaR, namely -33.46 percent. Meanwhile, during the Covid-19 pandemic with the research period 2020 to 2023, the highest VaR was Bank Bukopin Syariah at -187.18 percent. The VaR value for an individual sharia commercial bank can be used to describe the risk in the banking system. It can be seen that the level of individual bank systemic risk (CoVaR) before the Covid-19 pandemic was Bank Bukopin Syariah at -16.79 percent and also had the highest level of contribution to the system. Meanwhile, during the Covid-19 pandemic, the highest level of systemic risk for individual banks was Bank Muamalat Indonesia at -1.04 percent with the highest level of contribution to the system. Therefore, banks that have high individual risk do not necessarily have a high systemic risk contribution as well. Financial linkage between banks will provide additional risks apart from the risks of the individual banks themselves. In the period before the Covid-19 pandemic, the bank with the largest average financial linkage was Bank Panin Syariah at 28.94 percent. And during the Covid-19 pandemic, BTPN Syariah was 2.32 percent. It can be concluded that every bank has externalities to the banking system, so allegations of potential systemic risks need to be considered by regulators. The size of bank assets and individual bank risks are unable to determine the contribution of systemic risk. In this way, small banks and large banks can both threaten the level of stability of the financial system.

Kata Kunci : Bank Umum Syariah, Risiko Sistemik, Metode CoVaR / Indonesian Islamic Banks, Systemic Risk, CoVaR Method

  1. S2-2024-491046-abstract.pdf  
  2. S2-2024-491046-bibliography.pdf  
  3. S2-2024-491046-tableofcontent.pdf  
  4. S2-2024-491046-title.pdf