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 language | English |
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Pages (from-to) | 447-457 |
Number of pages | 11 |
Journal | International Journal of Economics and Management |
Volume | 11 |
Issue number | S2 |
Publication status | Published - 2017 |
Externally published | Yes |
Keywords
- bank fragility
- bank performance
- financial crisis
- Southeast Asia
- Systemic risk
ASJC Scopus subject areas
- Business and International Management
- Economics, Econometrics and Finance(all)
- Strategy and Management