The effect of internal banking and macroeconomic variables on systemic risk

The 2008 Global Financial Crisis makes systemic risk one of the focuses of research that continues to grow and makes the financial sector the center of analysis. The banking crisis is one of the sources of the financial crisis. This study attempts to analyze how the influence of bank internal variables and macroeconomics on systemic risk. Measurement of risk contribution uses the conditional value-at-risk (CoVaR) model with using a sample of five banks with the largest assets in Indonesia. The results of the study show that there are influences between internal banking and macroeconomic variables on systemic risk in Indonesia. Liquidity, leverage, and ROA have an effect on and are positively related to systemic risk, but in this case the ROA variable does not significantly influence while the deposit and size variables significantly influence and are negatively related. The results of this study refute the doctrine of "Too Big to Fail" which has been valid. In macroeconomic variables, namely the exchange rate and interbank money market interest rates (PUAB) have a positive relationship with the economic situation of a country that will affect the performance of the financial system in the country.