Wibowo, Buddi and Ham, Wilbert (2016) Dampak risiko default bank terhadap risiko sistemik perbankan dan risiko sistematik bursa saham di lima negara ASEAN. Jurnal Keuangan dan Perbankan, 20 (1). pp. 63-74. ISSN 1410-8089

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Abstract

Global financial crisis in 2008 has driven special attention to systemic banking sector risk that cause by individual bank default. Though, banking crisis significantly affect economic growth and national macroeconomic condition. Individual bank default non only affect banking industry but also has serious injured the economy. Bank default risk not only affect systemic risk but also systematic risk.ASEAN financial integration plan raise a need to understand characteristics of ASEAN banking industry. Close relationship and interconnection between ASEAN economies will make individual bank default a serious issue that its effect will spread to all ASEAN economy. This research aimed to investigate the effect of bank default risk on systemic and systematic risk in 5 ASEAN countries. We find that bank default risk significantlyraised systemic risk, esspecially in country with high concentration in its banking industry structure. Big banks tend to more serious effect on systemic risk. Systematic risk tend to be affected by macroeconomy condition, rather than default risk of individual bank.

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