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The Study of Risk-Weighted Assets on the Effects of Loan Exposure Valuation towards Credit Default (an empirical study on middle and top local banks listed in Indonesia stock exchange period 2008–2012)

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  • Tigor Sitorus

    (Universitas Bunda Mulia)

Abstract

This study aims at investigating and testing the mediated effect of risk-weighted assets on the effects of loan exposure valuation towards credit default at the local banks listed in Indonesian Stock Exchange from the period of 2008 to 2012. The Structural Equation Modelling by Amos Software 21.00 was used to analyze the data, and the result shows high goodness of fit while the simultaneous and individual tests generate significant result. The result of analysis shows that: (1) the loan exposure valuation does not give significantly positive influence to credit default; (2) the loan exposure valuation gives significantly positive influence to risk-weighted assets; (3) the risk-weighted assets give significantly positive influence to credit default. Therefore, the mediated effect of risk-weighted assets on the effects of loan exposure valuation towards credit default has more strength compared to the direct effect of loan exposure valuation to credit default.

Suggested Citation

  • Tigor Sitorus, 2015. "The Study of Risk-Weighted Assets on the Effects of Loan Exposure Valuation towards Credit Default (an empirical study on middle and top local banks listed in Indonesia stock exchange period 2008–2012," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 4(2), pages 159-176.
    • Handle: RePEc:cpn:umkcjf:v:4:y:2015:i:2:p:159-176
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    References listed on IDEAS

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    3. Bradley, Michael G. & Wambeke, Carol A. & Whidbee, David A., 1991. "Risk weights, risk-based capital and deposit insurance," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 875-893, September.
    4. Hopwood, Ag, 1972. "Empirical Study Of Role Of Accounting Data In Performance Evaluation," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 10, pages 156-182.
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