Analisis Determinan Risiko Kredit Pada Industri Peer-To-Peer Lending Menggunakan Vector Error Correction Model (VECM)

Chaerunnisa, Aura Najwa (2026) Analisis Determinan Risiko Kredit Pada Industri Peer-To-Peer Lending Menggunakan Vector Error Correction Model (VECM). Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Perkembangan teknologi finansial, khususnya industri Peer-to-Peer (P2P) Lending, telah memberikan kontribusi signifikan dalam meningkatkan inklusi keuangan di Indonesia melalui penyediaan akses pembiayaan yang cepat dan fleksibel. Namun, pertumbuhan industri ini juga diiringi dengan peningkatan risiko kredit yang tercermin dari Tingkat Wanprestasi 90 Hari (TWP90). Risiko kredit pada industri P2P Lending tidak hanya dipengaruhi oleh faktor internal industri, tetapi juga sensitif terhadap dinamika kondisi makroekonomi. Penelitian ini bertujuan untuk menganalisis determinan risiko kredit pada industri P2P Lending di Indonesia dengan menggunakan pendekatan Vector Error Correction Model (VECM) periode Januari 2021 hingga Agustus 2025. Risiko kredit diproksikan dengan TWP90 agregat industri, sedangkan variabel independen mencakup BI Rate, inflasi, nilai tukar (Ln_Kurs), Return on Assets (ROA), dan penyaluran pinjaman produktif. Hasil uji Johansen menunjukkan terdapat satu hubungan kointegrasi, mengonfirmasi adanya keseimbangan jangka panjang antarvariabel. Dalam jangka panjang, BI Rate, inflasi, ROA, dan penyaluran produktif berpengaruh positif terhadap TWP90, sedangkan nilai tukar berpengaruh negatif. Nilai Error Correction Term (ECT) bernilai negatif (-0,05748) namun tidak signifikan, menunjukkan penyesuaian jangka pendek menuju keseimbangan berjalan lambat. Hasil Forecast Error Variance Decomposition (FEVD) mengungkapkan bahwa fluktuasi TWP90 sangat didominasi oleh memori internal strukturalnya sendiri (>90%), sementara kontribusi variabel makroekonomi eksternal relatif minim (3%–5%). Lebih lanjut, simulasi stress testing pada skenario krisis terburuk (Severely Adverse) menghasilkan angka puncak TWP90 sebesar 2,684%, yang membuktikan bahwa industri P2P Lending di Indonesia memiliki tingkat ketahanan yang kokoh dan sehat karena tetap berada di bawah batas aman Otoritas Jasa Keuangan (OJK) sebesar 5%. Hasil penelitian ini diharapkan dapat menjadi masukan bagi pelaku industri dan regulator dalam memperkuat kapasitas credit scoring serta manajemen risiko kredit yang berkelanjutan.
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The development of financial technology, particularly the Peer-to-Peer (P2P) Lending industry, has significantly contributed to enhancing financial inclusion in Indonesia by providing fast and flexible financing access. However, the growth of this industry is also accompanied by an increase in credit risk, as reflected in the 90-Day Default Rate (TWP90). Credit risk in the P2P Lending industry is influenced not only by internal industry factors but is also sensitive to macroeconomic dynamics. This study aims to analyze the determinants of credit risk in the Indonesian P2P Lending industry using the Vector Error Correction Model (VECM) approach for the period from January 2021 to August 2025. Credit risk is proxied by the industry aggregate TWP90, while the independent variables include the BI Rate, inflation, exchange rate (Ln_Kurs), Return on Assets (ROA), and productive loan disbursements. The Johansen test results indicate the existence of one cointegrating relationship, confirming a long-term equilibrium among the variables. In the long term, the BI Rate, inflation, ROA, and productive loan disbursements have a positive effect on TWP90, while the exchange rate exerts a negative effect. The Error Correction Term (ECT) is negative (-0.05748) but statistically insignificant, indicating that the short-term adjustment towards equilibrium is sluggish. The Forecast Error Variance Decomposition (FEVD) results reveal that TWP90 fluctuations are heavily dominated by its own structural internal memory (>90%), while the contribution of external macroeconomic variables is relatively minimal (3%–5%). Furthermore, the stress testing simulation under the worst-case crisis scenario (Severely Adverse) yields a peak TWP90 of 2.684%, proving that the P2P Lending industry in Indonesia possesses a robust and healthy level of resilience, as it remains well below the Financial Services Authority's (OJK) safe threshold of 5%. The findings of this study are expected to provide valuable insights for industry players and regulators in strengthening credit scoring capacities and sustainable credit risk management.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Peer-to-Peer Lending, Risiko Kredit, Stress Testing, TWP90, VECM, Credit Risk, Peer-to-Peer Lending, Stress Testing, TWP90, VECM
Subjects:	H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HG Finance > HG3751 Credit--Management. Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Aura Najwa Chaerunnisa
Date Deposited:	16 Jul 2026 01:03
Last Modified:	16 Jul 2026 01:03
URI:	http://repository.its.ac.id/id/eprint/134914

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