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"Penelitian ini bertujuan untuk mengetahui hubungan antara overconfidence manager dankontribusi risiko sistemik dari individual bank. Menggunakan pendekatan ΔCoVaR untukmengetahui kontribusi risiko sistemik, dan untuk mengukur overconfidence managermenggunakan proksi investasi dan belanja modal yang dilakukan oleh bank. Melalui sudut pandang behavioural finance, overconfidence manager adalah perilaku bias dari manager yang menaksir terlalu tinggi peluang keuntungan dimasa datang yang secara bersamaan abai terhadap risiko yang ada. Menggunakan data dari 16 bank terbuka diIndonesia dari tahun 2004 -2018. Penulis menemukan bahwa bank dengan kategori highconfidence berkontribusi lebih tinggi terhadap risiko sistemik dibandingkan dengan bankkategori low confidence.

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This study aims to analyse the effect of manager overconfidence to the systemic risk

contribution from individual bank. Using ΔCoVaR approach to measure individual banks contribution to the systemic risk and managerial overconfidence using proxy of banks investment decision and capital expenditure. From behavioral finance perspective, overconfidence manager is the bias behavior of managers who overestimate the probability of future return and neglect the risk involved. Using data of 16 Indonesian Public banks from 2004-2018 and found that banks with high confidence contribute more to the systemic risk than banks with low confidence category"

"[ABSTRAKTesis ini membahas mengenai pengukuran kontribusi risiko sistemik danhubungannya dengan karakteristik individu bank pada perbankan Indonesiadengan periode pengamatan dari 2003 s.d 2013.Metode yang digunakan untukmengukur kontribusi risiko sistemik adalah CoVaR (Girardi dan Ergun, 2013) danMES (Acharya, 2010). CoVaR digunakan untuk melihat kontribusi risiko sistemikmasing-masing bank terhadap sistem keuangan apabila bank mengalami distresssedangkan MES digunakan untuk melihat bagaimana kontribusi risiko sistemikmasing-masing bank apabila sistem keuangan mengalami distress. Dari hasilpengukuran ditemukan bank yang memiliki nilai Delta CoVaR terbesar adalahBMRI, BBRI, BBCA dan BBNI.Ke 4 (empat) bank tersebut merupakan bankterbesar di Indonesia.Hal ini menunjukan bahwa bank yang akan memberikant kontribusi risikokepada sistem sebesar nilai Delta CoVaR nya saat bank mengalami distress.Sebaliknya dari hasil pengukuran MES diketahui bahwa bank yang akanmemberikan kontribusi risiko sistemik terbesar saat sistem mengalami distressadalah BBRI. Hasil penelitian menunjukan bahwa karakteristik individu bankseperti ukuran bank dan VaR memiliki pengaruh yang signifikan terhadap besarkontribusi risiko sistemik bank di Indonesia. Kondisi makroekonomi seperti inflasisecara signifikan mempengaruhi nilai kontribusi risiko sistemik dari masingmasingbank di Indonesia.

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ABSTRACTThis thesis discusses the contribution of systemic risk and its relationshipwith the individual characteristics of banks in the Indonesian banking with theobservation period from 2003 until 2013. The method used to measure systemicrisk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).CoVaR looks ay the returns of the financial system when an institution is infinancial distress while MES looks at the returns of an institution when thefinancial system is in distress. From the results of measurements we found that thebank has the largest value of Delta CoVaR areBMRI , BBRI , BBCA and BBNI .All of the bank are the largest bank in Indonesia.This shows that the bank will contribute to the system at its current value ofDelta CoVaR bankswhile experiencing distress. On the other hand, the resultmeasurement of the MES is that BBRI will provide the largest contribution tosystemic risk when the system it experiencing distress.The results showed thatindividual characteristics such as bank size and VaR has a significant effect on thebank contribution to systemic risk in Indonesia. Macroeconomic conditions suchas inflation significantly affect the value of systemic risk contribution of each bankin Indonesia.;This thesis discusses the contribution of systemic risk and its relationshipwith the individual characteristics of banks in the Indonesian banking with theobservation period from 2003 until 2013. The method used to measure systemicrisk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).CoVaR looks ay the returns of the financial system when an institution is infinancial distress while MES looks at the returns of an institution when thefinancial system is in distress. From the results of measurements we found that thebank has the largest value of Delta CoVaR areBMRI , BBRI , BBCA and BBNI .All of the bank are the largest bank in Indonesia.This shows that the bank will contribute to the system at its current value ofDelta CoVaR bankswhile experiencing distress. On the other hand, the resultmeasurement of the MES is that BBRI will provide the largest contribution tosystemic risk when the system it experiencing distress.The results showed thatindividual characteristics such as bank size and VaR has a significant effect on thebank contribution to systemic risk in Indonesia. Macroeconomic conditions suchas inflation significantly affect the value of systemic risk contribution of each bankin Indonesia., This thesis discusses the contribution of systemic risk and its relationshipwith the individual characteristics of banks in the Indonesian banking with theobservation period from 2003 until 2013. The method used to measure systemicrisk contribution is CoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010).CoVaR looks ay the returns of the financial system when an institution is infinancial distress while MES looks at the returns of an institution when thefinancial system is in distress. From the results of measurements we found that thebank has the largest value of Delta CoVaR areBMRI , BBRI , BBCA and BBNI .All of the bank are the largest bank in Indonesia.This shows that the bank will contribute to the system at its current value ofDelta CoVaR bankswhile experiencing distress. On the other hand, the resultmeasurement of the MES is that BBRI will provide the largest contribution tosystemic risk when the system it experiencing distress.The results showed thatindividual characteristics such as bank size and VaR has a significant effect on thebank contribution to systemic risk in Indonesia. Macroeconomic conditions suchas inflation significantly affect the value of systemic risk contribution of each bankin Indonesia.]"

"Tesis ini meneliti hubungan tingkat kompetisi dan tingkat konsentrasi perbankan terhadap risiko sistemik. Selain itu, juga dilakukan penelitian mengenai hubungan kontribusi bank terhadap risiko sistemik dengan karakteristik masingmasing bank. Penelitian ini menggunakan model Panzar ? Rosse dan CR5 atas data laporan keuangan bulanan seluruh bank umum ke Bank Indonesia untuk mengukur tingkat kompetisi dan tingkat persaingan. Penelitian ini juga menggunakan model CoVaR dengan metode Quantile Regression atas data return saham bulanan bank umum untuk mengukur risiko sistemik. Periode pengamatan adalah Januari 2004 sampai Maret 2013. Hasil penelitian menunjukkan tingkat persaingan dan tingkat konsentrasi perbankan meningkatkan risiko sistemik Hal ini berarti mendukung hipotesa competition fragility dan concentration fragility. Hal ini menandakan bahwa persaingan yang makin tinggi mendorong perbankan untuk mengambil risiko yang lebih tinggi sementara tingkat konsentrasi yang makin tinggi mendorong bank dengan kekuatan pasar besar untuk mengenakan bunga yang lebih besar yang pada gilirannya dapat menyebabkan meningkatnya risiko sistemik atas sistem keuangan. Adanya pengaruh variabel kontrol Net Interest Margin terhadap kedua model memperkuat hipotesa tersebut. Selain itu ukuran bank dan rasio pinjaman antar bank terhadap pendanaan juga berpengaruh terhadap kontribusi risiko sistemik suatu bank. Sementara variabel profitability (ROA), variabel struktur permodalan (EQ), dan variabel struktur deposito (ratio demand deposit terhadap total funding) tidak berpengaruh pada kontribusi risiko sistemik.

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This thesis analyzes the relationship between Indonesian banking competition, concentration, and systemic risk. This thesis also analyes the relationship between bank?s contribution to systemic risk with characteristics of individual bank. This thesis uses Panzar ? Rosse and CR5 model of the entire bank?s monthly financial report to measure competition and concentration. CoVaR with Quantile Regression of banks monthly stock return were used for systemic risk contribution measurement. The period of observation is from January 2004 until March 2013.

The empirical result shows concentration and competition increase the systemic risk (CoVaR). This thesis support both competition-fragility and concentration-fragility hypothesa. This means increasing competition leads banks to taking higher risks and banks with high market power tends to charge higher interest rate to their debtors which will lead to increasing banks contribution to systemic risk.

The fact that Net Interest Margin as control variable is statistically significant for both models shows further support for both hypothesa. The influence of size and interbank deposit ratio to bank?s contribution to systemic risk is statistically significant, meanwhile, profitability, capital structure, and demand deposit to total funding ratio are not significant."

"Tesis ini meneliti hubungan tingkat kompetisi dan tingkat konsentrasi perbankan terhadap risiko sistemik. Selain itu, juga dilakukan penelitian mengenai hubungan kontribusi bank terhadap risiko sistemik dengan karakteristik masingmasing bank. Penelitian ini menggunakan model Panzar - Rosse dan CR5 atas data laporan keuangan bulanan seluruh bank umum ke Bank Indonesia untuk mengukur tingkat kompetisi dan tingkat persaingan. Penelitian ini juga menggunakan model CoVaR dengan metode Quantile Regression atas data return saham bulanan bank umum untuk mengukur risiko sistemik. Periode pengamatan adalah Januari 2004 sampai Maret 2013.Hasil penelitian menunjukkan tingkat persaingan dan tingkat konsentrasi perbankan meningkatkan risiko sistemik Hal ini berarti mendukung hipotesa competition fragility dan concentration fragility. Hal ini menandakan bahwa persaingan yang makin tinggi mendorong perbankan untuk mengambil risiko yang lebih tinggi sementara tingkat konsentrasi yang makin tinggi mendorong bank dengan kekuatan pasar besar untuk mengenakan bunga yang lebih besar yang pada gilirannya dapat menyebabkan meningkatnya risiko sistemik atas sistem keuangan. Adanya pengaruh variabel kontrol Net Interest Margin terhadap kedua model memperkuat hipotesa tersebut. Selain itu ukuran bank dan rasio pinjaman antar bank terhadap pendanaan juga berpengaruh terhadap kontribusi risiko sistemik suatu bank. Sementara variabel profitability (ROA), variabel struktur permodalan (EQ), dan variabel struktur deposito (ratio demand.

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This thesis analyzes the relationship between Indonesian banking competition, concentration, and systemic risk. This thesis also analyes the relationship between bank?s contribution to systemic risk with characteristics of individual bank. This thesis uses Panzar - Rosse and CR5 model of the entire bank?s monthly financial report to measure competition and concentration. CoVaR with Quantile Regression of banks? monthly stock return were used for systemic risk contribution measurement. The period of observation is from January 2004 until March 2013.

The empirical result shows concentration and competition increase the systemic risk (CoVaR). This thesis support both competition-fragility and concentration-fragility hypothesa. This means increasing competition leads banks to taking higher risks and banks with high market power tends to charge higher interest rate to their debtors which will lead to increasing banks? contribution to systemic risk. The fact that Net Interest Margin as control variable is statistically significant for both models shows further support for both hypothesa. The influence of size and interbank deposit ratio to bank?s contribution to systemic risk is statistically significant, meanwhile, profitability, capital structure, and demand deposit to total funding ratio are not significant."

"Peran indikator kesehatan keuangan menjadi semakin penting dalam mengarahkan pengawasan mikroprudensial terhadap risiko sektor perbankan, terutama di tengah perlambatan ekonomi global belakangan ini. Untuk menguji pentingnya indikator tersebut, penelitian ini mencoba mengukur kontribusi komponen CAMEL terhadap risiko sistemik (SRISK). Dengan menggunakan estimasi Feasible Generalized Least Square (FGLS) dan fixed-effect, dengan memanfaatkan data level bank terdaftar individu di negara-negara ASEAN-5 dari tahun 2004 hingga 2017, studi ini menemukan bahwa empat dari lima komponen CAMEL dan beberapa variabel makroekonomi dapat mempengaruhi risiko sistemik bank.

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The role of financial soundness indicators has become increasingly important in guiding the microprudential supervision towards banking sector risk, especially amidst the recent global economic slowdown. To examine the importance of the indicators, this study tries to measure the contribution of CAMEL components towards systemic risk (SRISK). Using the Feasible Generalized Least Square (FGLS) and fixed-effect estimations, leveraging individual listed bank level data in ASEAN-5 countries from 2004 to 2017, this study found that four out of five CAMEL components and some macroeconomic variables could affect the systemic risk of a bank."

"Penelitian ini bertujuan untuk mengetahui pengaruh tingkat persaingan bank terhadap risiko sistemik di Indonesia untuk periode 2006-2015. Dengan menggunakan metode Panzar-Roose Model sebagai pengukuran tingkat persaingan bank dan metode Altman Z-Score sebagai pengukuran risiko sistemik, menunjukan tingkat persaingan bank secara signifikan berpengaruh negatif terhadap risiko sistemik perbankan Indonesia. Semakin tinggi tingkat persaingan perbankan akan menurunkan tingkat risiko sistemik. Tingginya tingkat persaingan bank akan membuat bank-bank untuk mendiversifikasikan risiko-risikonya sehingga menyebabkan sistem perbankan semakin kokoh.

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The objective of this research is to determine the effect of banking competition level to systemic risk in Indonesia in the period of 2006 2015. Panzar Roose Model is used to measure the degree of competitiveness and Altman Z Score is used to measure systemic risk. It shows a significant negative relationship between the degree of bank competitiveness and systemic risk. The higher the level of banking competition will reduce the level of systemic risk and the greater the level of competition encourages bank to diversify their risks, so that it will make the banking system less fragile."

"Penelitian ini bertujuan untuk mengetahui pengaruh tingkat persaingan bank terhadap risiko sistemik pada perbankan publik di Indonesia untuk periode 2010-2014. Dengan menggunakan metode Lerner Index sebagai pengukuran tingkat persaingan bank dan metode Merton?s distance-to-default sebagai pengukuran risiko sistemik, menunjukan tingkat persaingan individual bank secara signifikan berpengaruh negatif terhadap risiko sistemik perbankan Indonesia. Semakin rendah tingkat konsentrasi pasar perbankan akan menurunkan tingkat risiko sistemik. Tingginya tingkat persaingan bank akan membuat bank-bank untuk mendiversifikasikan risiko-risikonya sehingga menyebabkan sistem perbankan semakin kokoh.

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The objective of this research is to determine the effect of bank degree of competitiveness on systemic risk of public banks in Indonesia during 2010-2014. Using Lerner Index to measure bank degree of competitiveness and Merton's distance-to-default to measure systemic risk, show a significant negative relationship between bank degree of competitiveness and systemic risk. The less concentrated of banking market cause reduction on systemic risk. The greater bank degree of competitiveness encourages banks to take on more diversified risks, making the banking system less fragile."

"Environmental, Social, and Governance ESG semakin mendapatkan perhatian di antara perusahaan dan pemangku kepentingan. Tujuan dari penelitian ini adalah untuk menguji apakah peran mediasi pengungkapan ESG memiliki pengaruh negatif terhadap CEO overconfidence dan risiko perusahaan, terutama berdasarkan perspektif investor. Banyak penelitian mengenai pengungkapan ESG hanya dilakukan di Eropa dan Amerika. Sebagian besar pengungkapan ESG diukur menggunakan daftar ceklist manual berdasarkan laporan tahunan atau situs web perusahaan. Dengan menggunakan dataset panel dari 225 perusahaan manufaktur di Asia Tenggara tahun 2012-2016 yang diperoleh dari skor ESG Thomson Reuters, hasilnya menunjukkan bahwa CEO overconfidence tidak memiliki pengaruh negatif terhadap risiko perusahaan secara langsung namun peran pengungkapan ESG sebagai variabel mediasi terhadap pengaruh negatif CEO overconfidence dan risiko perusahaan terbukti. CEO overconfidence memiliki pengaruh positif terhadap pengungkapan ESG dan pengungkapan ESG memiliki pengaruh negatif terhadap risiko perusahaan. CEO overconfidence akan memilih keputusan terbaik untuk mengungkapkan ESG sehingga nilai perusahaan akan meningkat dan mengurangi risiko perusahaan. Semakin tinggi perusahaan yang mengungkapkan ESG akan menurunkan risiko yang dihadapi oleh investor.Kata Kunci: CEO Overconfidence; Pengungkapan ESG; dan Risiko Perusahaan.

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Environmental, Social, and Governance ESG is increasingly gaining attention among firms and stakeholders. The purpose of this study was to examine whether the mediation role of ESG disclosure has a negative effect on CEO overconfidence and firm risk, especially based on investors 39 perspective. Many researches on ESG disclosure are conducted only in Europe and America. Most of ESG disclosure are measured using manual checklist based on annual reports or firm websites. By using the panel dataset of 225 manufacturing firms in Southeast Asia from 2012 2016 that obtained from Thomson Reuters rsquo ESG score, the results show that CEO overconfidence has no negative effect to firm risk directly but the role of ESG disclosure as a mediating variable has a negative effect to CEO overconfidence and firm risk. CEO overconfidence has a positive effect to ESG disclosure and ESG disclosure has a negative effect to firm risk. CEO overconfidence will choose the best decisions to disclose ESG so the value of the firm will increase and reduce firm risk. The higher firms that disclose ESG disclosure will lower risk faced by the investors.Keywords CEO Overconfidence ESG Disclosure and Firm Risk "

"Tujuan penelitian ini adalah untuk menguji hubungan langsung maupun tidak langsung CEO overconfidence terhadap risiko perusahaan melalui penghindaran pajak. Selain itu untuk menguji peranan CEO founder terhadap: a) hubungan antara CEO overconfidence dan penghindaran pajak; b) hubungan antara penghindaran pajak dan risiko perusahaan serta c) hubungan antara CEO overconfidence terhadap risiko perusahaan. Penelitian ini juga memberikan usulan alternatif pengukuran atas CEO overconfidence berupa penggabungan ukuran kuantitatif (keuangan) dan kualitatif (nonkeuangan) untuk memberikan gambaran yang menyeluruh atas karakteristik overconfidence menggunakan composite score index. Penelitian ini menggunakan sampel perusahaan nonkeuangan yang terdaftar di Bursa Efek Indonesia periode 2012-2019. Hasil penelitian ini menunjukkan bahwa perusahaan yang dipimpin oleh CEO overconfidence memiliki risiko perusahaan yang rendah. Penelitian ini juga membuktikan bahwa terdapat hubungan tidak langsung antara CEO overconfidence dan risiko perusahaan melalui penghindaran pajak. Selain itu, penelitian ini memberikan bukti empiris bahwa CEO founder memperlemah hubungan positif antara penghindaran pajak dan risiko perusahaan dibanding CEO profesional. Namun demikian, penelitian ini belum dapat membuktikan hubungan moderasi CEO founder terhadap hubungan CEO overconfidence dan penghindaran pajak maupun hubungan CEO overconfidence terhadap risiko perusahaan. Penelitian ini juga memberikan suatu bukti empiris bahwa pengukuran CEO overconfidence menggunakan composite score index dapat menjadi alternatif baru untuk pengukuran CEO overconfidence karena memiliki validitas pengukuran yang lebih baik dibanding pengukuran lainnya.

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The purpose of this study was to examine the direct and indirect relationship between CEO overconfidence and corporate risk through tax evasion. In addition to testing the role of CEO founders on: a) the relationship between CEO overconfidence and tax avoidance; b) the relationship between tax avoidance and corporate risk and c) the relationship between CEO overconfidence towards corporate risk. This research also proposes an alternative measure of CEO overconfidence in the form of a combination of quantitative (financial) and qualitative (non-financial) measures to provide a comprehensive picture of the characteristics of overconfidence using a composite score index. This study uses a sample of non-financial companies listed on the Indonesia Stock Exchange for the 2012-2019 period. The results of this study indicate that companies led by overconfidence CEOs have low corporate risk. This study also proves that there is an indirect relationship between CEO overconfidence and corporate risk through tax evasion. In addition, this study provides empirical evidence that founding CEOs weaken the positive relationship between tax avoidance and corporate risk compared to professional CEOs. However, this research has not been able to prove the relationship between CEO founder moderation and the relationship between CEO overconfidence and tax evasion, as well as the relationship between CEO overconfidence and company risk. This study also provides empirical evidence that measuring CEO overconfidence using a composite score index can be a new alternative for measuring CEO overconfidence because it has better measurement validity than other measurements."

"Penelitian ini bertujuan untuk mengetahui apakah diversifikasi dapat meningkatkan risiko sistemik perbankan. Sampel yang digunakan dalam penelitian ini terdiri atas 21 bank konvensional yang terdaftar di Bursa Efek Indonesia periode 2009 hingga 2018. Risiko sistemik bank diukur dengan menggunakan metode Conditional Value at Risk (CoVaR) dan diuji dengan metode regresi data panel firm-year fixed effect menggunakan variabel instrumen. Hasil penelitian ini menunjukkan bahwa diversifikasi pendanaan bank secara signifikan dapat memperparah risiko sistemik, sedangkan diversifikasi aktivitas bank yang diukur melalui diversifikasi aset dan pendapatan tidak memiliki pengaruh signifikan terhadap risiko sistemik.

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This study aims to determine the impact of diversification on the systemic risk of banks. The sample of the study consists of 21 conventional banks listed in Indonesia Stock Exchange for the period from 2009 to 2018. To gauge the systemic risk, the Conditional Value-at-Risk (CoVaR) methodology is applied. The firm year fixed effect panel regression with instrumental variables approach is used to examine how firm-specific variables determine the level of systemic risk. The empirical findings suggest that funding diversification exacerbates the level of systemic risk, whereas asset diversification and revenue diversification do not have significant effects on the level of systemic risk.

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