Stress Test Terhadap Risiko Kredit Sekelompok Bank Persero: Model Parametrik dan Non Parametrik
AMRI ANJAS ASMARA (Pembimbing: Muhammad Edhie Purnawan, M.A., Ph.D.), Muhammad Edhie Purnawan, M.A., Ph.D.
Penelitian ini mempunyai motivasi untuk menaksir perilaku risiko kredit kelompok bank Persero. Penaksiran tersebut dilakukan dengan menggunakan analisis stress test tipe sensitivity test dan hypothetical scenario. Lebih lanjut, dalam upaya untuk menghasilkan penaksiran risiko kredit yang obyektif, analisis stress test tersebut dilakukan dengan menggunakan model parametrik dan non parametrik. Analisis stress test (baik tipe sensitivity test dan hypothetical scenario) dalam model parametrik diakomodasi oleh Impulse Response Function (IRF), namun dengan impulse yang dimodifikasi. Sementara itu, stress test dengan pendekatan model non parametrik dilakukan dengan menggunakan teknik simulasi Monte Carlo. Simulasi tersebut diakomodasi oleh salah satu instrumen dari perangkat lunak @RISK 5.5.1, yaitu stress-analysis.
Hasil analisis stress test tipe sensitivity test dengan model parametrik menunjukkan bahwa sensitivitas risiko kredit dari kelompok bank Persero relatif tinggi terhadap guncangan (shock) yang berasal dari (i) inflation shock dan (ii) credit boom. Sementara itu, analisis sensitivity test dengan model non parametrik menunjukkan bahwa sensitivitas risiko kredit dari kelompok bank Persero relatif tinggi terhadap guncangan (shock) yang berasal dari (i) credit boom dan (ii) sollar shock. Di sisi lain, hasil analisis stress test tipe hypothetical scenario, baik pada model pendekatan parametrik maupun non parametrik, menujukkan bahwa risiko kredit kelompok bank Persero akan meningkat tajam apabila terjadi guncangan simultan dari kombinasi sollar shock, inflation shock serta interest rate shock.
This research has the motivation to assess credit risk behaviorss of state owned banks group. Estimation was carried out using both types of stress test analysis, namely sensitivity test and scenario hypothetical. Furthermore, in an effort to produce an objective assessment of credit risk, stress test analysis was conducted using parametric and non parametric model. Stress test analysis (both types of sensitivity test and hypothetical scenarios) in a parametric model is accomodated by the Impulse Response Function (IRF), but with impulse modification. Meanwhile, the stress test with non-parametric model approach by using Monte Carlo simulation technique. Simulations are accommodated by one of the instruments of the software @ RISK 5.5.1, namely stress-analysis.
Stress test results of the sensitivity test with the parametric model showed that the credit risk sensitivity of state owned banks group is relatively high to the shocks derived from (i) inflation shock and (ii) credit boom. Meanwhile, the sensitivity test with the non-parametric model showed that the credit risk sensitivity of state owned banks group is relatively high to shocks derived from (i) credit boom and (ii) sollar shock. On the other hand, stress test results of the hypothetical scenario, both on the parametric and non parametric models, showed that the credit risk of state owned banks group will increase sharply if there are simultan shocks from a combination of sollar shock, inflation shock and interest rate shock.
Kata Kunci : Stress test, Credit risk, Group of state owned banks, Sensitivity test, Hypothetical scenario, Parametric and non parametric models, Risiko kredit, Kelompok bank Persero, Model parametrik dan non parametrik
