Analysis of systemic risk in banking on the Indonesian stock exchange with the conditional-value at-risk method

This study aims to determine the systemic risk of banks as measured using Conditional-Value at Risk. The data used is daily closing price data to determine the daily return of 9 banks listed on the Indonesia Stock Exchange with 5-year from September 28, 2018, to September 22, 2023. Then used to determine the Conditional Value at Risk of each bank. The results of the study can be seen in this article.Keywords: risiko sistemik,value at-risk, conditional-value at-risk, size firm