The Effect of Credit and Liquidity Risk Against Systemic Risk in Four Asean Banks

Abstract

This study examines the effect of credit risk and liquidity risk on the potential increases in systemic risk of the banking sector in four ASEAN banks. Two systemic risk measurements, namely dCoVaR and MES, are used in order to evaluate the effect of credit risk and liquidity risk on systemic risk of individual bank (dCoVaR) and systemic risk when the market is in distress (MES). The result from the regressions shows that credit risk and liquidity risk significantly affect systemic risk at the market distress. Meanwhile, credit risk and liquidity risk do not affect systemic risk of individual bank. The crisis affects systemic risk is showed by two regressions which are conducted in four ASEAN banks. The result is interesting because when the regression is conducted for all the countries, there is a positive and significant effect of crisis on systemic risk in four ASEAN banks, but when it is conducted for each country (as an additional analysis), not all the countries are affected by the crisis.

Third Party Fund Analysis Towards Bank Risk in the Banking Industry in Indonesia Stock Exchange

“…Results of this study are supported by previous research conducted by Pangestuti (2018) concludes that third party funds have a significant effect on bank risk [11]. However, this study does not support the research conducted by Khan (2017) which concluded that third party funds have no effect on bank risk using the loan loss provision (LLP).…”

“…The results of research on third party funds on bank risk are also supported by previous research conducted by Pangestuti (2018) which concluded that the variable of third party funds has no effect on the risk of the Bank using risk weighted assets (RWA) [11]. However, this study does not support research conducted by Khan (2017) which concluded that the variable of third party funds has a significant effect in bank risk using risk weighted assets (RWA).…”