Analisis Risiko Kredit dalam Penilaian Tingkat Kesehatan Bank (PTKB) Menggunakan Simulasi Monte Carlo dan Value at Risk pada Saham Blue Chip Industri Perbankan Indonesia

Rahadiani, Dinda Vitra (2024) Analisis Risiko Kredit dalam Penilaian Tingkat Kesehatan Bank (PTKB) Menggunakan Simulasi Monte Carlo dan Value at Risk pada Saham Blue Chip Industri Perbankan Indonesia. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Dalam rangka pengembangan perekonomian nasional melalui penguatan stabilitas sistem keuangan, perbankan memegang peran dan fungsi strategis sebagai pilar penghimpun dan penyalur dana masyarakat untuk meningkatkan kesejahteraan nasional. Salah satu langkah penguatan fungsi dan eksistensi perbankan adalah melalui evaluasi dan analisis terhadap proses bisnis inti yang dijalankan, yaitu kualitas kredit. Sebagai salah satu komponen penyusun aset terbesar perbankan, kredit juga melekat terhadap risiko dan ketidakpastian yang tinggi, sehingga diperlukan adanya suatu pengelolaan atau manajemen risiko kredit yang holistik untuk menganalisis keterkaitan kualitas kredit terhadap kinerja kelangsungan usaha Bank secara makro, salah satunya melalui pemantauan kinerja Loan to Deposit Ratio (LDR). Dalam menjalankan kelangsungan usahanya, Bank menerapkan prinsip kehati-hatian melalui berbagai macam regulasi dan kebijakan yang ditetapkan oleh pemegang fungsi pengawasan. Salah satu metodologi penilaian dan pemantauan terhadap kinerja perbankan adalah melalui Penilaian Tingkat Kesehatan Bank (PTKB) terhadap Bank Umum. Dengan adanya dua aspek krusial yang menjadi fokus utama bagi suatu perbankan untuk menjaga keberlanjutan usahanya, maka dikembangkan model simulasi Monte Carlo dan Value at Risk pada perbankan saham Blue Chip selaku kontributor utama profitabilitas lembaga keuangan Bank, antara lain Bank Central Asia (BCA), Bank Negara Indonesia (BNI), Bank Rakyat Indonesia (BRI), dan Bank Mandiri untuk mensimulasikan tingkat risiko kredit yang melekat ketika suatu perbankan ingin meningkatkan penyaluran kredit dengan tetap berada pada kategori perbankan yang berkualitas. Berdasarkan hasil simulasi dan penelitian, keempat objek amatan dapat meningkatkan penyaluran kredit hingga titik tertentu untuk menghasilkan profitabilitas yang lebih optimal, di mana dihasilkan BCA menjadi portofolio investasi dengan risiko tertinggi ketika mencapai nilai LDR 74 – 75%, BNI 90 – 92%, BRI 89 – 91%, dan Bank Mandiri 83 – 85%. Selain menganalisis keterkaitan risiko kredit terhadap PTKB, pada penelitian ini juga dilakukan analisis sensitivitas terhadap beberapa skenario kunci yang memungkinkan adanya perubahan dan pergerakan pada struktur permodalan dan pinjaman Bank.
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In the context of developing the national economy through the strengthening of financial system stability, banking holds a strategic role and function as a pillar for collecting and distributing public funds to enhance national welfare. One of the steps to strengthen the function and existence of banking is through the evaluation and analysis of the core business processes it conducts, namely credit quality. As one of the largest asset components in banking, credit is also associated with high risk and uncertainty, requiring holistic credit risk management to analyze the relationship between credit quality and the overall performance of the bank's business continuity, one of which is through monitoring the Loan to Deposit Ratio (LDR) performance. In running its business continuity, the bank applies the principle of prudence through various regulations and policies established by the supervisory authority. One methodology for assessing and monitoring banking performance is through the Bank Health Level Assessment (PTKB) for Commercial Banks. With two crucial aspects being the main focus for a bank to maintain its business sustainability, a Monte Carlo simulation model and Value at Risk are developed for blue-chip banking stocks as the main contributors to the financial institution's profitability, including Bank Central Asia (BCA), Bank Negara Indonesia (BNI), Bank Rakyat Indonesia (BRI), and Bank Mandiri. This model simulates the level of credit risk inherent when a bank aims to increase its credit distribution while maintaining its quality banking category. Based on the simulation and research results, the four observed objects can increase credit distribution up to a certain point to achieve more optimal profitability. The results show that BCA has the highest risk portfolio when reaching an LDR value of 74-75%, BNI at 90-92%, BRI at 89-91%, and Bank Mandiri at 83-85%. Besides analyzing the relationship between credit risk and PTKB, this research also conducts a sensitivity analysis on several key scenarios that may cause changes and movements in the bank's capital and loan structure.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Manajemen Risiko Kredit, Perbankan Blue Chip, Simulasi Monte Carlo, Value at Risk, Blue Chip Banking, Credit Risk Management, Loan to Deposit Ratio, Monte Carlo Simulation
Subjects:	H Social Sciences > HG Finance > HG3751 Credit--Management. H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4915 Stocks--Prices
Divisions:	Faculty of Industrial Technology and Systems Engineering (INDSYS) > Industrial Engineering > 26201-(S1) Undergraduate Thesis
Depositing User:	Dinda Vitra Rahadiani
Date Deposited:	25 Jul 2024 06:49
Last Modified:	25 Jul 2024 06:49
URI:	http://repository.its.ac.id/id/eprint/109036

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