Path: Top S2-Theses Management Science 2011

THE EFFECTS OF BANKING STRUCTURE ON FINANCIAL STABILITY UNDER IDIOSYNCRATIC AND SYSTEMIC SHOCK: AN AGENT BASED APPROACH

Master Theses from JBPTITBPP / 2015-06-03 14:59:39
Oleh : ERDI NOVANTO (29009017) ; pembimbing : Deddy P. Koesrindartoto, Ph. D, S2 - Science of Management
Dibuat : 2011, dengan 7 file

Keyword : risiko sistemik, struktur perbankan, penempatan dana antar bank, simulasi berbasis agen

Risiko sistemik adalah salah satu faktor yang menjadi perhatian dari bank sentral dalam fungsi mereka untuk menjaga kestabilan di sektor keuangan. Karena pentingnya topik ini, banyak peneliti yang memfokuskan penelitian mereka pada risiko sistemik. Penempatan dana antar bank merupakan salah satu mekanisme yang dapat membuat shock yang diterima oleh satu bank menyebar ke bank lain. Terdapat beberapa peneliti yang memfokuskan penelitian mereka untuk menganalisis efek dari penempatan dana antar bank terhadap risiko sistemik. Meskipun demikian masih sedikit penelitian yang menganalisa struktur perbankan, termasuk di dalamnya mengenai pengelolaan dana antar bank, terhadap risiko sistemik. Pada penelitian ini, peneliti membangun simulasi berbasis agen dari sistem perbankan untuk menganalisis pengaruh dari struktur perbankan terhadap risiko sistemik pada kondisi krisis ekonomi. Dari hasil simulasi, struktur perbankan termasuk di dalamnya bagaimana pengelolaan dana antar bank dapat memberikan pengaruh yang berbeda-beda tergantung dari tipe shock yang diterima.

Deskripsi Alternatif :

Systemic risk is one of the factors that became the concern of central banks in their function to maintain the stability in the financial sector. Due to the importance of this topic, there are many researchers, which focused their research on financial stability, especially focused on systemic risk. Interbank lending is one mechanism that can make shock, which is accepted by one bank spread to other banks (contagion). There are several researchers that focused their research on analyze the effect of interbank lending to systemic risk. However, there are a few researches that analyzed banking structure, including on the management of interbank lending, to the systemic risk. In this research, the author developed an agent-based simulation of the banking system to analyze the effect of banking structure, including on the management of interbank lending, to the systemic risk in economic downturn condition. From the simulation, banking system structure, including on the management of interbank lending, may give different effect on the different type of shock.

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  • Pembimbing : Deddy P. Koesrindartoto, Ph. D, Editor: Sandra Dewi Mawardi

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