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"[ABSTRAKTesis 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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ABSTRACTThis 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]"

"Penelitian ini dilakukan untuk melihat dampak faktor likuiditas terhadap laba bank. Hal ini dilakukan dengan menganalisis dampak faktor likuiditas berupa kas dan giro pada bank Indonesia, dana pihak ketiga, kesenjangan likuiditas, dan pembentukan cadangan kerugian penurunan nilai terhadap laba bank. Sampel penelitian yang digunakan adalah semua bank buku IV dan buku III yang berjumlah 20 bank di akhir tahun 2015 selama periode 2011 ndash; 2015 dengan menggunakan data laporan keuangan tahunan bank tersebut. Metodologi yang dipakai menggunakan analisis regresi data panel dengan melihat dampak faktor ndash; faktor tersebut terhadap laba bank. Hasil dari penelitian ini adalah dana pihak ketiga, kesenjangan likuiditas, dan pembentukan cadangan kerugian penurunan nilai memiliki hubungan yang signifikan terhadap laba bank di Indonesia.

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This research is conducted to find out the impact of liquidity factors on bank rsquo s income. It was done by analyzing the impact of Cash Current Accounts with Bank Indonesia, Deposits, Liquidity gap, and provision on bank rsquo s income. The data are the annual financial reports of all banks in book III book IV group which contain 20 banks by the end of 2015 within period of 2011 to 2015. Multiple regression method was used to find out the impact among these factors on bank rsquo s income. The study reveals that deposits, liquidity gap and allowance for impairment losses have significant impact on bank rsquo s income in Indonesia."