| Summary: | Credit disbursement to middle commercial segment with credit limit
between IDR 5 billion up to IDR 15 billion contain high risk. This high risk must
be managed, through a method and system of measurement of reliable credit
application. The purpose nevertheless is to identify and quantify these risks in
order to minimize potential loss which might happen if debitur being delinquent.
Application rating system as one of method to measure credit risk is effective
enough to be able to estimate the amount of loss when the loans defaulted, or
when the collectibility of customer loans decreased to non-performing loans.
Before the rating model established, to be preceded by the determination of the
factors that determine the level of credit quality customers in the commercial
segment. The aim of this research is to examine factors which could describe level
of credit quality borrowers / potential borrowers in middle commercial segment.
The process begin with evaluating corporate rating models which used to assess
the application of commercial middle segment of borrowers, obtain the
determinants of the level of credit quality in middle commercial segment based on
financial ratio from company in middle commercial segment, and arrange credit
rating model for middle commercial segment.
The result from evaluation on corporate rating model which used to assess
borrowers / potential borrowers in middle commercial segment showed it is not fit
for use and need to be replaced with a new rating model.. With method which use
internal by Bank X namely stepwise logistic regression at level confidence 95%,
based on data, obtained four determinants of the level of credit quality in this
segment such as Debt to Assets, Assets Turnover, Ebitda to Interest, and Return
On Assets. The model validity then examined with result based KS test
(Kolmogorov Smirnov) with value 73,9% and ROC (Receiver Operating
Characteristic) with value 0,931 which mean this model reliable enough to capture
the differences population betwen customer default and non-default. Based on
four factors above then conducted rating system for middle commercial segment.
Finally from rating system which occured based on four determine factors
such as Debt to Assets, Assets Turnover, Ebitda to Interest, and Return On Assets,
will provide a level of probability of default for each risk class. By knowing the
determinants and ratings of individual borrowers / potential borrowers could make
as the basis for credit analysis and to give pricing or determination of the value of
collateral coverage.
|
|---|