TY - GEN
T1 - The Effect of Off and On Balance Sheet Leverage Ratio on Systemic Risk in ASEAN-6 Banks
AU - Nabila, Althea
AU - Viverita, null
PY - 2018
Y1 - 2018
N2 - Excessive amount of leverage both on-balance sheet and off-balance sheet had led ASEAN-6 ((Indonesia, Malaysia, Thailand, Philippines, Singapore and Vietnam) region to experience financial crisis in 1997-1998. Moreover. It is observed that there is increasing trend of derivative leverage of banks in ASEAN-6 has possibility to become contributor to systemic risk, based on several prior researches in several countries. This research aims to examine the effect of balance sheet leverage, derivative leverage, and off-balance sheet leverage on systemic risk in ASEAN-6 countries from 2009-2016. In addition, this study also ranks banks in ASEAN-6 to find which bank has the highest contribution to systemic risk. This study uses MES (Marginal Expected Shortfall) to measure systemic risk contribution of each banks. We find that after controlling some bank’s specific variables, derivative leverage has the most significant effect on systemic risk. Keywords: Systemic Risk, Marginal Expected Shortfall, Off-Balance Sheet Leverage, On-Balance Sheet Leverage
AB - Excessive amount of leverage both on-balance sheet and off-balance sheet had led ASEAN-6 ((Indonesia, Malaysia, Thailand, Philippines, Singapore and Vietnam) region to experience financial crisis in 1997-1998. Moreover. It is observed that there is increasing trend of derivative leverage of banks in ASEAN-6 has possibility to become contributor to systemic risk, based on several prior researches in several countries. This research aims to examine the effect of balance sheet leverage, derivative leverage, and off-balance sheet leverage on systemic risk in ASEAN-6 countries from 2009-2016. In addition, this study also ranks banks in ASEAN-6 to find which bank has the highest contribution to systemic risk. This study uses MES (Marginal Expected Shortfall) to measure systemic risk contribution of each banks. We find that after controlling some bank’s specific variables, derivative leverage has the most significant effect on systemic risk. Keywords: Systemic Risk, Marginal Expected Shortfall, Off-Balance Sheet Leverage, On-Balance Sheet Leverage
UR - https://www.researchgate.net/publication/368845726_The_Effect_of_Off_and_On_Balance_Sheet_Leverage_Ratio_on_Systemic_Risk_in_ASEAN-6_Banks
M3 - Conference contribution
BT - The Effect of Off and On Balance Sheet Leverage Ratio on Systemic Risk in ASEAN-6 Banks
ER -