Marginal Expected Shortfall Analysis in Banking Emerging Market ASEAN.

This study aims to measure the contribution of systemic banking risk in each ASEAN emerging market country for comparison purpose at the time of crisis and thereafter. By being able to measure systemic risk exposure, the Bank or policy maker can make an ultimate risk management plan and the ability to anticipate risks. Moreover, in terms of banking system integration plan through ASEAN Banking Integration Framework (ABIF), central bank and regulator need to consider the impact of systemic risk as a result of the integration banking system. The research was conducted by using capital shortfall approach with marginal expected shortfall (MES) methodology. Systemic risk contribution calculations were performed using market data in the 2008-2016 observations period. The results found that during the 2008 crisis period all banks and countries were significant and contributed to systemic risk and MES could be a good predictor of systemic risk. While in the period after the crisis, several factors can be a cause of systemic risk in respective country.