DAMPAK NILAI TUKAR DAN RISK-BASED BANK RATING TERHADAP PREDIKSI KONDISI PERBANKAN INDONESIA

Diana Kanya Prasidha

doi:10.24114/qej.v4i3.17467

Abstract

Model predictions to asses the problematic conditions in banking sectors need to be developed. It because by knowing early of systemic risks condition, policymakers can take anticipation actions. In this study, the financial ratios used are RiskProfile, Good Corporate Governance, Earning, and Capital (RGEC) rating based approach. The risk profile is proxied by the Non Performing Loan (NPL) which represented by the Net Open Position (PDN) for market risk, and Loan to Deposit Ratio (LDR) for liquidity risk. Meanwhile, good corporate governance aspect is not investigated since the aspect is more qualitative. Then, the profitability aspect proxied by the Return on Asset (ROA) and Net Interest Margin (NIM), while the capital aspect proxied by the Capital Adequacy Ratio (CAR). In this study added one macroeconomic variables, namely the Exchange Rates. The study was conducted in 2009-2013 to predict and analyze the performance of the Indonesian banking sector, particularly for Private National Banks which are the most susceptible to problematic conditions. Using the logistic regression model, the results showed that the variables of NPL, PDN, ROA, and Exchange Rates are significantly effect on the probability of occurrence of the condition of troubled banks.

Highlights

B yang memiliki kelebihan dana dengan masyarakat yang memerlukan dana
Using the logistic regression model, the results showed that the variables of Non Performing Loan (NPL), Posisi Devisa Neto (PDN), Return On Asset (ROA), and Exchange Rates are significantly effect on the probability of occurrence of the condition of troubled banks
8. Penambahan periode pengamatan tahun 2104 menyebabkan terjadinya implikasi pada model temuan yaitu pada Nilai Tukar dan Net Interest Margin (NIM) yang tidak dapat digunakan untuk memprediksi potensi terjadinya kondisi bermasalah bank

Summary

Risiko Kredit

Menurut Siamat (2005), Non Performing Loan merupakan presentase jumlah kredit bermasalah (dengan kriteria kurang lancar, diragukan dan macet) terhadap total kredit yang disalurkan bank. Semakin tinggi rasio ini maka akan semakin buruk kualitas kredit bank yang menyebabkan jumlah kredit bermasalah semakin besar, maka kemungkinan suatu bank dalam kondisi bermasalah semakin besar (Almilia dan Herdaningtyas, 2005). Kredit dalam hal ini adalah kredit yang diberikan kepada pihak ketiga tidak termasuk kredit kepada bank lain. Rasio ini dirumuskan sebagai berikut (Surat Edaran BI Nomor 13/24/DPNP tanggal 25 Oktober 2011): NPL =

Risiko Pasar

Risiko Likuiditas

Profitabilitas

Rentabilitas

Permodalan