The impact of bank size, capital, and funding structure to systemic risk: Evidence from ASEAN-5 Countries

This paper aims to analyze the role of bank size, capital, and funding structure to the systemic risk in ASEAN-5 countries during period 2004- 2014. The systemic risk is measured by Marginal Expected Shortfall (MES) and SRISK. Using panel regression, we find that systemic risk measured by MES has a positive relationship with bank size, but it has inverse relationship with capital using both MES and SRISK. However, the funding structure has a small effect on systemic risk compare to size and capital. Our findings provide a justification of Basel III's proposition that bank capital requirement tightening would reduce systemic risk.