[ABSTRAK
Tesis ini bertujuan untuk menguji adanya kausalitas antar risiko perbankan dandampaknya terhadap probabilitas kegagalan bank. Penelitian ini menggunakandata individu perbankan dari 5 negara, seperti Filipina, Indonesia, Malaysia,Singapura, dan Thailand. Untuk menguji adanya kausalitas dalam risikoperbankan, dipergunakan VAR-Granger Causality model. Sebagai tambahan,model regresi OLS dipergunakan untuk menguji dampak dari interaksi antar risikoini terhadap probabilitas kegagalan bank. Hasil dari penelitian ini adalahkausalitas antar risiko kredit dan risiko likuiditas hanya ditemukan di Malaysia.Sedangkan, kausalitas antar risiko kredit dan risiko tingkat suku bunga ditemukandi Filipina, Malaysia, Thailand, dan ASEAN. Namun, tidak ditemukan adanyapengaruh dari interaksi antar risiko ini terhadap probabilitas kegagalan.Probabilitas kegagalan terbukti kuat dipengaruhi oleh risiko kredit, ukuran bank,dan produk domestik bruto.

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ABSTRACT
This thesis aims to investigate the occurrence of causality in banking risks and itsimpact on probability of default. This thesis used individual bank data of fivecountries, i.e: Indonesia, Malaysia, Singapore, Thailand, and the Philippine. Inorder to investigate the occurrence of causality in banking risks, we used VARGrangerCausality model. In addition, OLS regression models are used toinvestigate the impact of this causality on default probability. Results of this studyrevealed that the causality between credit risk and liquidity risk only occurred inthe Philippine, Malaysia, Thailand, and all banks in ASEAN. However, the impactof the interaction between banks risk on default probability is not significant.Furthermore, credit risk, bank size, and gross domestic product are significantlyimpact probability of default, This thesis aims to investigate the occurrence of causality in banking risks and itsimpact on probability of default. This thesis used individual bank data of fivecountries, i.e: Indonesia, Malaysia, Singapore, Thailand, and the Philippine. Inorder to investigate the occurrence of causality in banking risks, we used VARGrangerCausality model. In addition, OLS regression models are used toinvestigate the impact of this causality on default probability. Results of this studyrevealed that the causality between credit risk and liquidity risk only occurred inthe Philippine, Malaysia, Thailand, and all banks in ASEAN. However, the impactof the interaction between banks risk on default probability is not significant.Furthermore, credit risk, bank size, and gross domestic product are significantlyimpact probability of default]