Modelling Systemically Important Banks vis-à-vis the Basel Prudential Guidelines

Our paper investigates Indonesia’s systemically important banks (SIBs) using theoretical approaches—CoVaR, marginal expected shortfall (MES), and SRISK—to compare with the Basel guidelines as benchmark. We use Indonesian banks’ market supervisory data over 2008–2019 period. The research aims to seek intertheoretical model interaction SIB ranking in concordance applied by a bank supervisor. findings show that SRISK produced more consistent compared CoVaR MES. MES had higher intermodel correlation converted 59% similarity rankings. Further, all models are line guidelines, where closest approximation is at 47%. results indicate policy makers could scholarly validation tools help improve supervision decision identify institutions.