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UI - Tesis (Membership) :: Kembali

Pengaruh risiko kredit dan risiko likuiditas terhadap risiko sistemik di negara Asean-4 = The effect of credit risk and liquidity risk against the potential increases of systemic risk in Asean-4 banks / Rinda Siaga Pangestuti

Rinda Siaga Pangestuti; Viverita, supervisor; Cynthia Afriani, examiner; Sigit Sulistiyo Wibowo, examiner ([Publisher not identified] , 2016)
 Abstrak
ABSTRAK
Tesis ini menganalisis pengaruh risiko kredit dan risiko likuiditas terhadap
risiko sistemik pada perbankan di ASEAN-4. Penelitian ini menggunakan dua ukuran
risiko sistemik, yakni dCoVaR (Girardi dan Ergun, 2013) dan MES (Acharya, 2010)
agar dapat melihat perbedaan pengaruh risiko kredit dan risiko likuiditas terhadap
risiko sistemik dengan dua ukuran yang berbeda. Hasilnya, diketahui bahwa risiko
kredit dan risiko likuiditas memengaruhi risiko sistemik pada saat distres pasar, akan
tetapi risiko kredit dan risiko likuiditas tidak memengaruhi risiko sistemik individual
bank. Adapun persamaan temuan pada kedua regresi tersebut adalah bahwa risiko
sistemik dipengaruhi oleh kondisi krisis.
Temuan ini menarik mengingat pada saat dilakukan analisis untuk setiap
negara, hanya risiko sistemik di Filipina dan Thailand saja yang dipengaruhi oleh
krisis, sedangkan Indonesia dan Malaysia tidak. Akan tetapi, jika analisis dilakukan
serempak ternyata krisis memberi dampak positif signifikan terhadap risiko sistemik
individual bank.
Kemudian, pada analisis terhadap risiko sistemik saat pasar dalam kondisi
distres, risiko kredit dan risiko likuiditas hanya memengaruhi risiko sistemik di
Filipina saja. Akan tetapi, jika analisis dilakukan secara serempak, maka risiko kredit
dan risiko likuiditas memengaruhi risiko sistemik secara positif signifikan di
ASEAN-4.

ABSTRACT
This study examines the effect of credit risk dan liquidity risk on the potential
increases in systemic risk of the banking sector in ASEAN-4. Two systemic risk
measures, namely dCoVaR (Girardi and Ergun, 2013) and MES (Acharya, 2010) are
used in order to evaluate the effect of credit risk and liquidity risk on systemic risk of
individual bank and systemic risk when the market is in distress. Result from the
regressions show that credit risk and liquidity risk affect systemic risk at the market
distress, meanwhile, credit risk and liquidity risk do not affect systemic risk
individual bank. That crisis affects systemic risk is found by the two regressions in
ASEAN-4.
The result is interesting because when the regression analysis between credit
risk and liquidity risk against systemic risk for each country is conducted, only banks
in the Philippines and Thailand show the influence of credit risk on systemic risk, but
not in Indonesia and Malaysia. However, when the analysis is conducted for all the
countries, there is a positive and significant effect of crisis on systemic risk in
ASEAN-4.
The second analysis is conducted to examine the effect of credit risk and
liquidity risk against on systemic risk when the market is in distress. The results
show that credit risk and liquidity risk are significantly effects systemic risk at the
market distress. However, we do not find this effect in the regression for each
country, except in the Philippines.
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 Metadata
No. Panggil : T46156
Nama orang :
Nama orang tambahan :
Nama badan tambahan :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2016
Program Studi :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated ; computer (rdadontent)
Tipe Carrier : volume ; online resource
Deskripsi Fisik : xii, 82 pages : illustration ; 28 cm + appendix
Catatan Bibliografi : pages 38-44
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
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T46156 15-18-643277236 TERSEDIA
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