Integrasi Risiko Kelangkaan Air Tawar ke dalam Model Stress-Test Perbankan dan Valuasi Aset Industri

Shofa Robbani; Ahmad Amir Jamaluddin; Isna Nurfaizah; Diva Callysta Amelia Putri; Firda Laili Nur

doi:10.59996/ekodestinasi.v4i2.1103

Authors

Shofa Robbani Universitas Nahdlatul Ulama Sunan Giri
Ahmad Amir Jamaluddin Universitas Nahdlatul Ulama Sunan Giri
Isna Nurfaizah Universitas Nahdlatul Ulama Sunan Giri
Diva Callysta Amelia Putri Universitas Nahdlatul Ulama Sunan Giri
Firda Laili Nur Universitas Nahdlatul Ulama Sunan Giri

DOI:

https://doi.org/10.59996/ekodestinasi.v4i2.1103

Keywords:

Water Scarcity, Climate Stress Test, financial risk, NPL, LSTM, VECM, DCF Valuation

Abstract

This study aims to analyze the relationship between water scarcity risk, banking financial stability, and industrial asset valuation, while developing a framework for integrating water risk into the climate stress test (CST) as part of a green economy policy direction. The study employs a quantitative approach with an explanatory research design using panel data covering the period 2010–2023 in East Java Province. The research objects consist of 8 commercial banks and 75 manufacturing companies. Data analysis was conducted through descriptive statistics and ADF-PP stationarity tests, the Johansen cointegration test, copula modeling, water price forecasting using Long Short-Term Memory (LSTM), Vector Error Correction Model (VECM), Impulse Response Function (IRF), and risk-adjusted Discounted Cash Flow (DCF) valuation. The results indicate a significant positive relationship between SRI and water prices, with a correlation coefficient of 0.672 based on the Gaussian Copula. The LSTM model demonstrates good predictive performance, achieving a KGE value of 0.84 on the testing data. The VECM results show that changes in SRI and water prices significantly affect banking NPLs, while the Error Correction Term of -0.412 indicates an adjustment mechanism toward long-run equilibrium. The risk-adjusted DCF valuation further reveals that water scarcity can significantly reduce firm value, with an average decline of 21.1% and a reduction of up to 55.8% among firms facing high water risk. These findings confirm that water scarcity represents a material financial risk that should be integrated into banking risk management, CST, and industrial asset valuation. Such integration can strengthen financial sector resilience while supporting the transition toward a green economy and sustainable development.

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