ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA DALAM MENGHADAPI RISIKO PASAR MELALUI METODE STRESS TEST
The objective of this research is to perform loan quality stress test among 15 biggest bank in Indonesia based on asset, using annually data from 2002 to 2011 when headed with exceptional but plausible market risk shock. This research started with analyze the influence between economic cycle, bank e...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| author | , Adhika Nandiwardhanana , Drs. Setiono Miharjo, MBA., Ph.D |
| author_facet | , Adhika Nandiwardhanana , Drs. Setiono Miharjo, MBA., Ph.D |
| author_sort | , Adhika Nandiwardhanana |
| collection | UGM |
| description | The objective of this research is to perform loan quality stress test among 15
biggest bank in Indonesia based on asset, using annually data from 2002 to 2011 when
headed with exceptional but plausible market risk shock. This research started with
analyze the influence between economic cycle, bank efficiency rate, market risk, and
fuel cost to loan quality using regression analysis with white heteroskedasticity
consistence variance fixed effect model. The result from regression analysis will be
used as a stress test model (top-down approach) to assess loan quality to exceptional
but plausible market risk shock scenario.
The result from regression analysis show that economic cycle, market risk, and
fuel cost are significance influence to loan quality of 15 banks in Indonesia. This result
confirm by variables which is GDP growth, credit growth, IHSG growth, SBI rate
growth, rupiah/usd exchange rate growth, and rise of premium fuel price that had a
significance influence to PPAP and non-performing loan.
All of 15 bank that being use as a sample in this research show severe decline
in loan quality after shocked by the increase of market risk. This result confirm by
PPAP/Total Loan and gross NPL from 15 biggest bank in Indonesia that averagely
increase at 1185,68% and 904.24% after shock by exceptional but plausible market
risk scenario. The rise of gross NPL cause 14 from 15 bank that being analyze has to
inject additional capital to achieve 8% Capital Adequacy Ratio (CAR) and to
continuing business as usual. |
| first_indexed | 2024-03-13T23:10:54Z |
| format | Thesis |
| id | oai:generic.eprints.org:125515 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T23:10:54Z |
| publishDate | 2013 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1255152016-03-04T08:25:27Z https://repository.ugm.ac.id/125515/ ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA DALAM MENGHADAPI RISIKO PASAR MELALUI METODE STRESS TEST , Adhika Nandiwardhanana , Drs. Setiono Miharjo, MBA., Ph.D ETD The objective of this research is to perform loan quality stress test among 15 biggest bank in Indonesia based on asset, using annually data from 2002 to 2011 when headed with exceptional but plausible market risk shock. This research started with analyze the influence between economic cycle, bank efficiency rate, market risk, and fuel cost to loan quality using regression analysis with white heteroskedasticity consistence variance fixed effect model. The result from regression analysis will be used as a stress test model (top-down approach) to assess loan quality to exceptional but plausible market risk shock scenario. The result from regression analysis show that economic cycle, market risk, and fuel cost are significance influence to loan quality of 15 banks in Indonesia. This result confirm by variables which is GDP growth, credit growth, IHSG growth, SBI rate growth, rupiah/usd exchange rate growth, and rise of premium fuel price that had a significance influence to PPAP and non-performing loan. All of 15 bank that being use as a sample in this research show severe decline in loan quality after shocked by the increase of market risk. This result confirm by PPAP/Total Loan and gross NPL from 15 biggest bank in Indonesia that averagely increase at 1185,68% and 904.24% after shock by exceptional but plausible market risk scenario. The rise of gross NPL cause 14 from 15 bank that being analyze has to inject additional capital to achieve 8% Capital Adequacy Ratio (CAR) and to continuing business as usual. [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , Adhika Nandiwardhanana and , Drs. Setiono Miharjo, MBA., Ph.D (2013) ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA DALAM MENGHADAPI RISIKO PASAR MELALUI METODE STRESS TEST. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65684 |
| spellingShingle | ETD , Adhika Nandiwardhanana , Drs. Setiono Miharjo, MBA., Ph.D ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA DALAM MENGHADAPI RISIKO PASAR MELALUI METODE STRESS TEST |
| title | ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA
DALAM MENGHADAPI RISIKO PASAR MELALUI
METODE STRESS TEST |
| title_full | ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA
DALAM MENGHADAPI RISIKO PASAR MELALUI
METODE STRESS TEST |
| title_fullStr | ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA
DALAM MENGHADAPI RISIKO PASAR MELALUI
METODE STRESS TEST |
| title_full_unstemmed | ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA
DALAM MENGHADAPI RISIKO PASAR MELALUI
METODE STRESS TEST |
| title_short | ANALISA KUALITAS KREDIT 15 BANK DI INDONESIA
DALAM MENGHADAPI RISIKO PASAR MELALUI
METODE STRESS TEST |
| title_sort | analisa kualitas kredit 15 bank di indonesia dalam menghadapi risiko pasar melalui metode stress test |
| topic | ETD |
| work_keys_str_mv | AT adhikanandiwardhanana analisakualitaskredit15bankdiindonesiadalammenghadapirisikopasarmelaluimetodestresstest AT drssetionomiharjombaphd analisakualitaskredit15bankdiindonesiadalammenghadapirisikopasarmelaluimetodestresstest |