ANALISIS RISIKO KREDIT PEMILIKAN RUMAH (KPR) PT BANK XYZ MENGGUNAKAN METODA CREDIT RISK PLUS
ADITYA RAMDHANI, I Wayan Nuka Lantara, MBA, Ph.D
2016 | Tesis | S2 MANAJEMEN (MM) JAKARTAPada akhir tahun 2015, kinerja kredit konsumer Bank XYZ tumbuh sebesar 10,9% dibandingkan tahun 2014. Portofolio produk KPR memberikan kontribusi terbesar terhadap portofolio di segmen konsumer, yakni sebesar 60%. Portofolio KPR Bank XYZ tumbuh sebesar 4,4% atau sebesar Rp.34,8T. Namun demikian, terdapat indikasi penurunan tingkat kesehatan portofolio kredit KPR Bank XYZ, hal tersebut tercermin dari peningkatan loan default yang mengakibatkan angka PraNPL dan NPL Bank XYZ mengalami peningkatan menjadi 6,3% dan 2,7%. Kondisi tersebut menyebabkan Bank XYZ harus meningkatkan cadangan modalnya untuk menutupi risiko kredit KPR sesuai dengan peraturan BI/OJK melalui POJK No.11/POJK.03/2015 tentang ketentuan Aktiva Tertimbang Menurut Risiko. Berdasarkan ketentuan BI/OJK, Bank dapat menentukan besaran cadangan kerugian dengan menggunakan standardized method atau internal model. Melalui pendekatan internal model, diharapkan jumlah kebutuhan modal yang harus disediakan untuk menutup risiko kredit lebih kecil dibandingkan dengan standardized method. Pendekatan internal model sebagai landasan untuk menghitung cadangan modal untuk menutup risiko kredit sejalan dengan penelitian sebelumnya, yaitu perhitungan cadangan kebutuhan modal untuk menutup risiko pasar dan risiko kredit aktivitas trading yang dilakukan oleh JP Morgan (Crouchy, Galai & Mark 2000), dan penggunaan metoda credit risk plus melalui stress testing terhadap pengaruh kondisi ekonomi makro dalam pengukuran risiko kredit sesuai dengan kerangka Basel II dan pengaruhnya terhadap industi Bank di Italia (Foglia,2009). Hasil perhitungan Value at Risk (VaR) pada metoda Credit Risk Plus KPR bank XYZ menunjukan bahwa sepanjang periode pengamatan (Januari 2014 – Januari 2016) tidak terdapat nilai Actual Loss yang melebihi dari nilai VaR, sehingga dapat dinyatakan akurat dalam mengukur risiko kredit. Berdasarkan hasil Uji statistik menggunakan Uji t sample berpasangan atau paired-sampel t test, diperoleh hasil yang menyatakan bahwa nilai korelasi antara nilai Value at Risk melalui metoda Credit Risk Plus dan nilai standardize approach dari BI/OJK adalah kuat dan signifikan. Oleh karena itu, pendekatan Credit Risk Plus dapat digunakan sebagai internal model yang memenuhi kriteria regulator, hal ini dibuktikan dengan melakukan pengujian pendekatan Credit Risk Plus melalui proses back testing Keywords: Credit Risk Plus, Loan Default, Risk, Value at Risk
At the end of 2015, the performance of Bank XYZ consumer segment grew by 10.9% compared to 2014. Portfolio of mortgage product contribute as the biggest share of portfolio in consumer segment. However, there had downgrading indication of mortgage loan portfolio of Bank XYZ, it is reflected in loan defaults that has been increased, it can figured at Pra NPL and XYZ Bank NPL indicators were increased to 6.3% and 2.7%. The condition causes Bank XYZ should increase their capital reserves to cover the risk of mortgage loans in accordance with the regulations BI / FSA through POJK 11 / POJK.03 / 2015 concerning the provision Risk Weighted Assets. Under the provisions of BI / FSA, the Bank may determine the amount of loss reserves by using a standardized method or internal models. Through internal model approach, the expected amount of capital needs to be provided to cover the credit risk is smaller than the standardized method. Internal model approach as a basis for calculating capital reserves to cover credit risk in line with previous studies, the calculation of reserve capital requirement to cover market risk and credit risk trading activities performed by JP Morgan (Crouchy, Galai and Mark 2000), and the use of methods of credit plus risk through stress testing of the effects of macro-economic conditions in the credit risk assessment in accordance with the Basel II framework and its influence on industi Bank in Italy (Foglia 2009). The result of the calculation of Value at Risk (VaR) Credit Risk Plus Methods, Mortgage Bank XYZ showed that throughout the observation period (January 2014 - January 2016) there is no Actual Loss exceeding the value of the VaR, so it can be quite accurate in measuring credit risk. Based on test results statistically using paired sample t test or paired-samples t test, the result stating that the correlation between the value of the Value at Risk by methods Credit Risk Plus and standardize approach the value of BI / FSA is strong and significant. Therefore, the approach of Credit Risk Plus can be used as internal models that meet the criteria of the regulator, this is proved by testing the approach of Credit Risk Plus through back testing Keywords: Credit Risk Plus, Loan Default, Risk, Value at Risk
Kata Kunci : Credit Risk Plus, Loan Default, Risiko, Value at Risk
