ARIMA-Based Analysis of Financial Risks in Islamic and Conventional Rural Banks

https://doi.org/10.35912/bukhori.v5i2.5336
Published: Jan 20, 2026

Abstract:

Purpose: This study aims to analyze and compare the financial risks of Islamic Rural Banks (BPRS) and Conventional Rural Banks (BPR) in Indonesia, focusing on liquidity and credit risks. The objective is to provide a comprehensive understanding of risk management patterns and performance differences between these two types of banks.

Methodology/approach: This study aims to analyze and compare the financial risks of Islamic Rural Banks (BPRS) and Conventional Rural Banks (BPR) in Indonesia, focusing on liquidity and credit risks. The data analysis used is time series analysis with the ARIMA method.

Results/findings: The findings reveal that BPRS generally maintains higher liquidity ratios with lower liquidity risk compared to BPR, although both bank types exhibit credit risk above the recommended threshold. The forecasting results indicate that BPRS is likely to maintain its liquidity and reduce non-performing financing in the coming period, while BPR faces declining liquidity and persistent non-performing loan issues.

Conclusion: Islamic and conventional rural banks show different financial risk profiles, with conventional banks facing higher liquidity and loan risks, while Islamic banks generally maintain stronger liquidity but remain exposed to financing risks.

Limitations: This study is limited by its focus on quantitative indicators and historical data, without incorporating qualitative or macroeconomic factors. The use of ARIMA may not fully capture sudden structural changes or regulatory impacts.

Contribution: The study offers insights for improving risk management and compares Islamic and conventional rural banks in a developing country.

Keywords:
1. ARIMA Forecasting
2. Conventional Rural Banks (BPR)
3. Credit Risk
4. Islamic Rural Banks (BPRS)
5. Liquidity Risk
Authors:
1 . Ahmad Syathiri
2 . Fera Widyanata
3 . Farida Kumalasari
4 . Heru Wahyudi
https://orcid.org/0000-0002-4584-8078
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How to Cite
Syathiri, A. ., Widyanata, F., Kumalasari, F., & Wahyudi, H. (2026). ARIMA-Based Analysis of Financial Risks in Islamic and Conventional Rural Banks. Bukhori: Kajian Ekonomi Dan Keuangan Islam, 5(2), 23–42. https://doi.org/10.35912/bukhori.v5i2.5336
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Issue & Section
Vol. 5 No. 2 (2026): January
Articles
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References

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    Alaoui Mdaghri, A. (2022). How does bank liquidity creation affect non-performing loans in the MENA region? International Journal of Emerging Markets, 17(7), 1635-1658. doi:https://doi.org/10.1108/IJOEM-05-2021-0670

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    Disli, M., & Jalaly, S. (2024). The performance of Islamic and conventional microfinance loans in Afghanistan: The Taliban and beyond. Emerging Markets Review, 59, 101104. doi:https://doi.org/10.1016/j.ememar.2023.101104

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  1. Abbas, F., Ali, S., Yousaf, I., & Wong, W.-K. (2021). Dynamics of funding liquidity and risk-taking: Evidence from commercial banks. Journal of Risk and Financial Management, 14(6), 281. doi:https://doi.org/10.3390/jrfm14060281
  2. Ahmad, S., Lensink, R., & Mueller, A. (2020). The double bottom line of microfinance: A global comparison between conventional and Islamic microfinance. World Development, 136, 105130. doi:https://doi.org/10.1016/j.worlddev.2020.105130
  3. Ajija, S. R., Sukmana, R., Sari, T. N., & Hudaifah, A. (2020). Breadth and depth outreach of Islamic cooperatives: do size, non-performing finance, and grant matter? Heliyon, 6(7). doi:https://doi.org/10.1016/j.heliyon.2020.e04472
  4. Akkas, E., & Al Samman, H. (2022). Are Islamic financial institutions more resilient against the COVID-19 pandemic in the GCC countries? International Journal of Islamic and Middle Eastern Finance and Management, 15(2), 331-358. doi:https://doi.org/10.1108/IMEFM-07-2020-0378
  5. Al Hammadi, M., Jimber-Del Río, J. A., Ochoa-Rico, M. S., Montero, O. A., & Vergara-Romero, A. (2024). Risk management in Islamic banking: The impact of financial technologies through empirical insights from the UAE. Risks, 12(2), 17. doi:https://doi.org/10.3390/risks12020017
  6. Alaoui Mdaghri, A. (2022). How does bank liquidity creation affect non-performing loans in the MENA region? International Journal of Emerging Markets, 17(7), 1635-1658. doi:https://doi.org/10.1108/IJOEM-05-2021-0670
  7. Arumningtyas, F., Prahutama, A., & Kartikasari, P. (2021). Value-At-Risk Analysis Using ARIMAX-GARCHX Approach For Estimating Risk Of Bank Central Asia Stock Returns. Jurnal Varian, 5(1), 71-80. doi:https://doi.org/10.30812/varian.v5i1.1474
  8. Ball, L. (2023). Liquidity risk at large US banks. Journal of Law, Finance, and Accounting, 7(2), 229-272. doi:https://doi.org/10.1561/108.00000064
  9. Bashir, R., & Azeez, A. (2022). Risk management practices of Islamic and conventional banks of Pakistan: A comparative study. International Journal of Banking and Finance, 17(2), 57-90. doi:https://doi.org/10.32890/ijbf2022.17.2.3
  10. Ben Salem, A., & Ben Abdelkader, I. (2023). Diversification and performance of microfinance institutions: does Islamic microfinance model matter? International Journal of Islamic and Middle Eastern Finance and Management, 16(5), 975-995. doi:https://doi.org/10.1108/IMEFM-01-2022-0031
  11. Bikker, J. A., & Vervliet, T. M. (2018). Bank profitability and risk?taking under low interest rates. International Journal of Finance & Economics, 23(1), 3-18. doi:https://doi.org/10.1002/ijfe.1595
  12. Bilgin, M. H., Danisman, G. O., Demir, E., & Tarazi, A. (2021). Economic uncertainty and bank stability: Conventional vs. Islamic banking. Journal of Financial Stability, 56, 100911. doi:https://doi.org/10.1016/j.jfs.2021.100911
  13. Blasco, N., Corredor, P., & Satrústegui, N. (2023). Is there an expiration effect in the bitcoin market? International Review of Economics & Finance, 85, 647-663. doi:https://doi.org/10.1016/j.iref.2023.02.013
  14. Challa, M. L., Malepati, V., & Kolusu, S. N. R. (2018). Forecasting risk using auto regressive integrated moving average approach: an evidence from S&P BSE Sensex. Financial Innovation, 4(1), 24. doi:https://doi.org/10.1186/s40854-018-0107-z
  15. Chazi, A., Mirzaei, A., & Zantout, Z. (2024). Are Islamic banks really resilient to crises: new evidence from the COVID-19 pandemic. International Journal of Islamic and Middle Eastern Finance and Management, 17(5), 1027-1043. doi:https://doi.org/10.1108/IMEFM-06-2024-0279
  16. Chen, W.-D., Chen, Y., & Huang, S.-C. (2021). Liquidity risk and bank performance during financial crises. Journal of Financial Stability, 56, 100906. doi:https://doi.org/10.1016/j.jfs.2021.100906
  17. Chikalipah, S. (2018). Credit risk in microfinance industry: Evidence from sub-Saharan Africa. Review of Development finance, 8(1), 38-48. doi:https://doi.org/10.1016/j.rdf.2018.05.004
  18. Chmelíková, G., Krauss, A., & Dvouletý, O. (2019). Performance of microfinance institutions in Europe—Does social capital matter? Socio-Economic Planning Sciences, 68, 100670. doi:https://doi.org/10.1016/j.seps.2018.11.007
  19. Davydov, D., Vähämaa, S., & Yasar, S. (2021). Bank liquidity creation and systemic risk. Journal of Banking & Finance, 123, 106031. doi:https://doi.org/10.1016/j.jbankfin.2020.106031
  20. Disli, M., & Jalaly, S. (2024). The performance of Islamic and conventional microfinance loans in Afghanistan: The Taliban and beyond. Emerging Markets Review, 59, 101104. doi:https://doi.org/10.1016/j.ememar.2023.101104
  21. Duan, Y., El Ghoul, S., Guedhami, O., Li, H., & Li, X. (2021). Bank systemic risk around COVID-19: A cross-country analysis. Journal of Banking & Finance, 133, 106299. doi:https://doi.org/10.1016/j.jbankfin.2021.106299
  22. Elgharbawy, A. (2020). Risk and risk management practices: A comparative study between Islamic and conventional banks in Qatar. Journal of Islamic Accounting and Business Research, 11(8), 1555-1581. doi:https://doi.org/10.1108/JIABR-06-2018-0080
  23. Farnè, M., & Vouldis, A. (2021). Banks’ risk-taking within a banking union. Economics Letters, 204, 109909. doi:https://doi.org/10.1016/j.econlet.2021.109909
  24. Fianto, B. A., Maulida, H., & Laila, N. (2019). Determining factors of non-performing financing in Islamic microfinance institutions. Heliyon, 5(8). doi:https://doi.org/10.1016/j.heliyon.2019.e02301
  25. Gong, D., Jiang, T., & Lu, L. (2021). Pandemic and bank lending: Evidence from the 2009 H1N1 pandemic. Finance Research Letters, 39, 101627. doi:https://doi.org/10.1016/j.frl.2020.101627
  26. Gunawan, D., & Astika, W. (2022). The Autoregressive Integrated Moving Average (ARIMA) Model for Predicting Jakarta Composite Index. Jurnal Informatika Ekonomi Bisnis, 1-6. doi:https://doi.org/10.37034/infeb.v4i1.114
  27. Hasbi, S., Apriyana, M., & Pangestu, R. A. (2021). Tingkat Efisiensi BPR Dan BPRS Di Jawa Barat Pada Masa Pandemi Covid-19: Efeciency Level Of BPR And BPRS In West Java During The Covid-19 Pandemic. Nisbah: Jurnal Perbankan Syariah, 7(1), 1-7. doi:https://doi.org/10.30997/jn.v7i1.4287
  28. Hidayah, N., Muslim, M. B., & Azis, A. (2022). Complying with Sharia While Exempting from Value-Added Tax: Mur?ba?ah in Indonesian Islamic Banks. Ahkam: Jurnal Ilmu Syariah, 22(1). doi:https://doi.org/10.15408/ajis.v22i1.22833
  29. Hidayana, R. A., Subiyanto, S., & Supian, S. (2022). The Study of Value-At-Risk Calculation and Back-testing Using the ARMA-GARCH Model Based on Stock Returns: An Overview. International Journal of Research in Community Services, 3(4), 142-146. doi:https://doi.org/10.46336/ijrcs.v3i4.368
  30. Hidayat, S. E., Sakti, M. R. P., & Al-Balushi, R. A. A. (2021). Risk, efficiency and financial performance in the GCC banking industry: Islamic versus conventional banks. Journal of Islamic Accounting and Business Research, 12(4), 564-592. doi:https://doi.org/10.1108/JIABR-05-2020-0138
  31. Ibrahim, M. H., & Rizvi, S. A. R. (2018). Bank lending, deposits and risk-taking in times of crisis: A panel analysis of Islamic and conventional banks. Emerging Markets Review, 35, 31-47. doi:https://doi.org/10.1016/j.ememar.2017.12.003
  32. Irfany, M., & Ulhaqqi, M. (2023). The effect of systematic and unsystematic determinants on loan (financing) to deposit ratio in Indonesian banking. Annals of Management and Organization Research, 5(1), 61-72. doi:https://doi.org/10.35912/amor.v5i1.1657
  33. Jusuf, N., & Widarjono, A. (2024). Funding Liquidity Risk, Bank-Specific Variables And Profitability Of Islamic Rural Banks. IQTISHADUNA: Jurnal Ilmiah Ekonomi Kita, 13(2), 434-450. doi:https://doi.org/10.46367/iqtishaduna.v13i2.2227
  34. Khan, A., Rizvi, S. A. R., Ali, M., & Haroon, O. (2021). A survey of Islamic finance research–Influences and influencers. Pacific-Basin Finance Journal, 69, 101437. doi:https://doi.org/10.1016/j.pacfin.2020.101437
  35. Khan, M. F., Ali, M. S., Hossain, M. N., & Bairagi, M. (2023). Determinants of non-performing loans in conventional and Islamic banks: Emerging market evidence. Modern Finance, 1(1), 56-69. doi:https://doi.org/10.61351/mf.v1i1.27
  36. Le, T. D., Ho, T. H., Nguyen, D. T., & Ngo, T. (2022). A cross-country analysis on diversification, Sukuk investment, and the performance of Islamic banking systems under the COVID-19 pandemic. Heliyon, 8(3). doi:https://doi.org/10.1016/j.heliyon.2022.e09106
  37. Li, X., Feng, H., Zhao, S., & Carter, D. A. (2021). The effect of revenue diversification on bank profitability and risk during the COVID-19 pandemic. Finance Research Letters, 43, 101957. doi:https://doi.org/10.1016/j.frl.2021.101957
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