Analisis pengaruh pergerakan risiko pasar terhadap tingkat permodalan bank :: Kajian atas empat bank umum di Indonesia

SRIHONO, Adam, Supriyadi, Dr.,M.Sc

2006 | Tesis | Magister Manajemen

Sebagaimana diketahui, pada tahun 2003 Bank Indonesia (BI) telah mengeluarkan peraturan yang mewajibkan bank-bank agar mempertimbangkan unsur-unsur risiko pasar (market risk) dalam perhitungan tingkat permodalannya. Dalam bisnis perbankan, salah satu indikator utama permodalan bank adalah Capital Adequacy Ratio (CAR), yaitu rasio antara modal dan aktiva tertimbang menurut risiko (ATMR). Komponen modal terdiri dari Modal Inti dan Modal Pelengkap, sedangkan ATMR mencakup seluruh jenis aset on-balance sheet dan off-balance sheet yang telah dibobot sesuai kategori risiko masing-masing. Ketentuan ini mulai berlaku efektif sejak bulan Januari 2005. Kajian ini dimaksudkan untuk mengetahui seberapa besar pengaruh risiko pasar ––khususnya risiko nilai tukar valuta asing–– terhadap jumlah ATMR dan CAR bank, serta hal-hal yang mempengaruhinya. Penelitian didasarkan atas data sekunder terutama laporan berkala bank-bank kepada BI, antara lain laporan posisi aktiva dan pasiva valuta asing, modal, ATMR, serta nilai tukar valuta asing yang berlaku pada posisi laporan. Kajian dilakukan atas empat bank umum devisa, yang mewakili kelompok bank persero, bank swasta nasional yang berkantor pusat di Jakarta dan luar Jakarta, serta bank campuran (joint venture bank ), dengan menggunakan data triwulanan dari rentang waktu sejak Desember 2001 hingga Desember 2004. Hasil dari kajian ini membuktikan adanya pengaruh yang signifikan dari risiko pasar khususnya nilai tukar valuta asing terhadap ATMR dan CAR bank. Jumlah ATMR meningkat sehingga terjadi penurunan pada CAR bank. Terjadinya peningkatan ATMR atau penurunan CAR ini cukup bervariasi dan berbeda antara bank yang satu dengan bank lainnya yang diuji-petik, yang secara umum dipengaruhi oleh perilaku dan manajemen posisi valuta asing masing-masing bank.

During the last two decades, the issues of how measuring and managing risks have become more crucial for any nation, in order to maintain the country’s financial system stability which can support a strong and sustainable economic growth. Regarding to this phenomenon, in 2003, Central Bank of Indonesia (BI) has announced the new regulation in banking sector which obligate bank to take account of some components of market risk when calculating an adequate level of bank’s capital. This new regulation will be implemented, effectively, on January 2005. In banking business, one of a major indicator of bank’s capital adequacy is Capital Adequacy Ratio (CAR), defined as a ratio between capital and risk weighted assets (ATMR). In addition, capital can be distinguished as Tier 1 and Tier 2. ATMR can be defined as all kinds of asset on bank’s balance sheet (on- and off-balance sheet) and will be weighted according to the category of risks attach to it. The major issue which will be analyzed in this paper is how much market risk, especially exchange rate risk, and some of its determinant factors, may affect the amount of ATMR and also CAR of banks in Indonesia. This research will be based on secondary data, especially periodical reports from bank’s to BI, such as the reports for asset and liabilities in foreign exchange, capital, ATMR and the foreign exchange rate at the time of the report. Furthermore, the research will be conducted on four kind of banks which are operated in Indonesia right now, such as state bank, private national bank (which does and does not have a head-office around Jakarta area), and joint venture bank. Finally, the data which are used in this paper is quarterly data from December 2001 to December 2004. The result of this paper is supporting the argument that the attempt to take account of market risk, such as foreign exchange risk, may have a significant impact in calculating bank’s ATMR and CAR. In general, the amount of ATMR will be increased when banks calculate the market risk, which will pull down the bank’s CAR. This up and down movement of ATMR and CAR is quite different between bank’s in the sample which might happened due to the distinction in behavior and management of foreign exchange exposure in each bank’s.

Kata Kunci : Risiko Pasar,Aktiva Tertimbang Menurut Risiko,Capita Charge,Capital Adequacy Ratio, Market Risk, Capital Charge, Aktiva Tertimbang Menurut Risiko, Capital Adequacy Ratio