Proceedings of the 4th International Conference on Sustainable Innovation 2020–Social, Humanity, and Education (ICoSIHESS 2020)

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Application of Risk-Adjusted Returnon Capital (RAROC) in Measuring the Effects of Macroprudential Policy on Sharia Bank Market Risks in Indonesia

Authors
Aqidah Asri Suwarsi, Safaah Restuning Hayati, Setiawan Aji
Corresponding Author
Aqidah Asri Suwarsi
Available Online 21 January 2021.
DOI
10.2991/assehr.k.210120.117How to use a DOI?
Keywords
Macroprudential Policy, Market Risk, Islamic Banking, RAROC
Abstract

Macroprudential Policy is a policy issued by Bank Indonesia to control systemic risk in the economy, both monetary risk and financial risk. This study aims to determine the effect of macroprudential factors, namely Gross Domestic Product, Inflation, and the BI Rate, on the market risk of Islamic Commercial Banks. The population in this study are Islamic Commercial Banks in Indonesia. The sampling method used was purposive sampling, and the samples in this study included Bank Syariah Mandiri, BNI Syariah, BRI Syariah, Mega Syariah, Panin Dubai Syariah, and Bank Muamalat with an observation period of 2015-2019. This research uses the panel data regression analysis method with Eviews software. The results showed that macroprudential factors had a significant effect on the market risk of Islamic banks. GDP has a positive effect on market risk, inflation has no effect on market risk, exchange rates have a negative effect on market risk, and the BI Rate has a positive effect on market risk.

Copyright
© 2021, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 4th International Conference on Sustainable Innovation 2020–Social, Humanity, and Education (ICoSIHESS 2020)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
21 January 2021
ISBN
978-94-6239-317-2
ISSN
2352-5398
DOI
10.2991/assehr.k.210120.117How to use a DOI?
Copyright
© 2021, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - CONF
AU  - Aqidah Asri Suwarsi
AU  - Safaah Restuning Hayati
AU  - Setiawan Aji
PY  - 2021
DA  - 2021/01/21
TI  - Application of Risk-Adjusted Returnon Capital (RAROC) in Measuring the Effects of Macroprudential Policy on Sharia Bank Market Risks in Indonesia
BT  - Proceedings of the 4th International Conference on Sustainable Innovation 2020–Social, Humanity, and Education (ICoSIHESS 2020)
PB  - Atlantis Press
SP  - 139
EP  - 146
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.210120.117
DO  - 10.2991/assehr.k.210120.117
ID  - Suwarsi2021
ER  -