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

Muhammad Ihsan, Sigit S. Wibowo

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)447-457
Number of pages11
JournalInternational Journal of Economics and Management
Volume11
Issue number2 Special Issue
Publication statusPublished - 1 Jan 2017

Keywords

  • Bank fragility
  • Bank performance
  • Financial crisis
  • Southeast Asia
  • Systemic risk

Fingerprint Dive into the research topics of 'The impact of bank size, capital, and funding structure to systemic risk: Evidence from ASEAN-5 Countries'. Together they form a unique fingerprint.

Cite this