Penyusunan Model Bayesian Inspection Game untuk Permasalahan Non Performing Loan

Rochmadhan, Oryza Akbar (2020) Penyusunan Model Bayesian Inspection Game untuk Permasalahan Non Performing Loan. Masters thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Non performing loan (NPL) merupakan salah satu permasalahan yang sering dihadapi oleh perbankan. Menurut data dari Otoritas Jasa Keuangan, nilai NPL pada kredit modal kerja, kredit investasi, dan kredit konsumsi secara berturut-turut mengalami rata-rata kenaikan sebesar 3,20%, 2,73%, dan 1,58%. Pada kredit konsumsi menunjukkan tren yang konsisten naik dibanding dengan kredit modal kerja dan kredit investasi selama periode 2015-2019. Jenis kredit yang memiliki rata-rata kenaikan tertinggi pada kredit konsumsi adalah kredit pemilikan rumah (KPR) dengan nilai 9,10%. Penelitian ini menyusun sebuah model Bayesian inspection game dari sudut pandang pihak bank untuk mengidentifikasi, menganalisis, dan mengantisipasi faktor-faktor penyebab NPL. Model yang disusun merupakan model Bayesian game dengan tiga tipe permainan, yakni false alarm (FA), non-detection (ND), dan bull’s eye (BE). Berdasarkan model ini, dilakukan proses kalkulasi Bayesian-Nash equilibrium untuk mendapatkan formulasi proporsi strategi pemain. Hasil kalkulasi dari titik kesetimbangan dapat digunakan untuk mengidentifikasi faktor penyebab serta merumuskan strategi untuk mengantisipasi terjadinya NPL. Hasil identifikasi mengenai faktor penyebab NPL antara lain adalah: proporsi dari utilitas dan disutilitas nasabah, peluang terjadinya kesalahan inspeksi berupa false alarm, peluang terjadinya kesalahan inspeksi berupa non-detection, besar biaya operasional untuk melakukan inspeksi, dan rendahnya utilitas yang didapat pihak bank sebagai hasil dari inspeksi. Proporsi dari utilitas nasabah akan menyebabkan pergeseran titik kesetimbangan dan mengakibatkan tingkat NPL yang lebih tinggi apabila nilai utilitas lebih besar atau sama dengan disutilitas debitur. Peluang terjadinya kesalahan inspeksi baik tipe false alarm dan non-detection menyebabkan kenaikan nilai NPL apabila nilai peluang mengalami peningkatan. Kenaikan nilai NPL juga disebabkan oleh peningkatan biaya operasional inspeksi. Faktor terakhir, peningkatan utilitas bank akan berakibat pada penurunan tingkat NPL. ===================================================================================================== Non-performing loans (NPL) are one of the problems that are often faced by banks. According to data from the Financial Services Authority, the NPL value in working capital credit, investment credit, and consumer credit increased by an average of of 3.20%, 2.73%, and 1.58% respectively. Consumer credit shows a consistent upward trend compared to working capital credit and investment credit during the 2015-2019 period. The type of credit that had the highest average increase in consumer credit is the homeownership loan (KPR) with a value of 9.10%. This research constructs a Bayesian inspection game model from the perspective of the bank to identify, analyze, and anticipate the factors causing NPL. The model arranged is a Bayesian game model with three types of games, namely false alarm (FA), non-detection (ND), and bull’s eye (BE). Based on this model, the Bayesian-Nash equilibrium calculation process is carried out to obtain the formulation of the player’s strategy proportion. The calculation results can be used to identify the causal factors and formulate strategies to anticipate the occurrence of NPL. The results of factors identification causing NPL include the proportion of utility and disutility of customers, the possibility of error inspection in the form of false alarms, the possibility of inspection errors in the form of non-detection, the large operational costs for conducting inspections, and the low utility obtained by the bank as a result from inspection. The proportion of the customer's utility will cause a shift in the equilibrium point and result in a higher NPL level if the utility value is greater than or equal to the debtor's disutility. The chances of an inspection error, both false alarm and non-detection types will cause an increase in the NPL value if the opportunity value increases. The increase in NPL value was also caused by an increase in the operational cost of inspections. The last factor, an increase in bank utilities will result in a decrease in the NPL level.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Bayesian-Nash equilibrium, inspection game, non performing loan
Subjects: Q Science > QA Mathematics > QA269 Game theory
Divisions: Faculty of Industrial Technology and Systems Engineering (INDSYS) > Industrial Engineering > 26101-(S2) Master Thesis
Depositing User: Oryza Akbar Rochmadhan
Date Deposited: 21 Aug 2020 02:29
Last Modified: 21 Aug 2020 02:32
URI: https://repository.its.ac.id/id/eprint/79289

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