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UI - Tesis (Membership) :: Kembali

Analisis hubungan kausalitas antara risiko kredit risiko likuiditas dan risiko tingkat suku bunga dengan probabilitas kegagalan bank = Causality analysis between credit risk liquidity risk and interest rate risk on probability of bank default / Tiffany

Tiffany; Viverita, supervisor; Arief Rijanto, examiner; Suroso, examiner ([Publisher not identified] , 2015)

 Abstrak

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

ABSTRACT
This thesis aims to investigate the occurrence of causality in banking risks and its
impact on probability of default. This thesis used individual bank data of five
countries, i.e: Indonesia, Malaysia, Singapore, Thailand, and the Philippine. In
order to investigate the occurrence of causality in banking risks, we used VARGranger
Causality model. In addition, OLS regression models are used to
investigate the impact of this causality on default probability. Results of this study
revealed that the causality between credit risk and liquidity risk only occurred in
the Philippine, Malaysia, Thailand, and all banks in ASEAN. However, the impact
of the interaction between banks risk on default probability is not significant.
Furthermore, credit risk, bank size, and gross domestic product are significantly
impact probability of default, This thesis aims to investigate the occurrence of causality in banking risks and its
impact on probability of default. This thesis used individual bank data of five
countries, i.e: Indonesia, Malaysia, Singapore, Thailand, and the Philippine. In
order to investigate the occurrence of causality in banking risks, we used VARGranger
Causality model. In addition, OLS regression models are used to
investigate the impact of this causality on default probability. Results of this study
revealed that the causality between credit risk and liquidity risk only occurred in
the Philippine, Malaysia, Thailand, and all banks in ASEAN. However, the impact
of the interaction between banks risk on default probability is not significant.
Furthermore, credit risk, bank size, and gross domestic product are significantly
impact probability of default]

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 Metadata

Jenis Koleksi: UI - Tesis (Membership)
No. Panggil : T44206
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2015
Program Studi :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource
Deskripsi Fisik : xii, 143 pages : illustration ; 28 cm + appendix
Catatan Bibliografi : pages 89-92
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
  • Ketersediaan
  • Ulasan
No. Panggil No. Barkod Ketersediaan
T44206 15-17-346049040 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20415381