ABSTRAK
Tesis ini menganalisis pengaruh risiko kredit dan risiko likuiditas terhadaprisiko sistemik pada perbankan di ASEAN-4. Penelitian ini menggunakan dua ukuranrisiko sistemik, yakni dCoVaR (Girardi dan Ergun, 2013) dan MES (Acharya, 2010)agar dapat melihat perbedaan pengaruh risiko kredit dan risiko likuiditas terhadaprisiko sistemik dengan dua ukuran yang berbeda. Hasilnya, diketahui bahwa risikokredit dan risiko likuiditas memengaruhi risiko sistemik pada saat distres pasar, akantetapi risiko kredit dan risiko likuiditas tidak memengaruhi risiko sistemik individualbank. Adapun persamaan temuan pada kedua regresi tersebut adalah bahwa risikosistemik dipengaruhi oleh kondisi krisis.Temuan ini menarik mengingat pada saat dilakukan analisis untuk setiapnegara, hanya risiko sistemik di Filipina dan Thailand saja yang dipengaruhi olehkrisis, sedangkan Indonesia dan Malaysia tidak. Akan tetapi, jika analisis dilakukanserempak ternyata krisis memberi dampak positif signifikan terhadap risiko sistemikindividual bank.Kemudian, pada analisis terhadap risiko sistemik saat pasar dalam kondisidistres, risiko kredit dan risiko likuiditas hanya memengaruhi risiko sistemik diFilipina saja. Akan tetapi, jika analisis dilakukan secara serempak, maka risiko kreditdan risiko likuiditas memengaruhi risiko sistemik secara positif signifikan diASEAN-4.

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ABSTRACT
This study examines the effect of credit risk dan liquidity risk on the potentialincreases in systemic risk of the banking sector in ASEAN-4. Two systemic riskmeasures, namely dCoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010) areused in order to evaluate the effect of credit risk and liquidity risk on systemic risk ofindividual bank and systemic risk when the market is in distress. Result from theregressions show that credit risk and liquidity risk affect systemic risk at the marketdistress, meanwhile, credit risk and liquidity risk do not affect systemic riskindividual bank. That crisis affects systemic risk is found by the two regressions inASEAN-4.The result is interesting because when the regression analysis between creditrisk and liquidity risk against systemic risk for each country is conducted, only banksin the Philippines and Thailand show the influence of credit risk on systemic risk, butnot in Indonesia and Malaysia. However, when the analysis is conducted for all thecountries, there is a positive and significant effect of crisis on systemic risk inASEAN-4.The second analysis is conducted to examine the effect of credit risk andliquidity risk against on systemic risk when the market is in distress. The resultsshow that credit risk and liquidity risk are significantly effects systemic risk at themarket distress. However, we do not find this effect in the regression for eachcountry, except in the Philippines.