Pengaruh Diversifikasi Porto Folio Kredit pada Resiko Bank Umum Terbuka di Indonesia

Kharismawati, Githa, Jogiyanto Hartono, Prof., Dr., M.B.A.

2008 | Tesis | S2 Magister Management

Fungsi intermediasi bank didukung oleh kinerja portofolio kredit yang dimilikinya. Peminimuman risiko bank dapat dilakukan melalui pengelolaan portofolio kredit yang tepat. Diversifikasi portofolio kredit diharapkan mampu menurunkan risiko kredit bank. Penelitian ini bertujuan untuk menguji pengaruh diversifikasi portofolio kredit pada risiko bank,

yaitu risiko kredit bank dengan menggunakan kelambanan satu tahun. Sampel dalam penelitian ini adalah 17 bank umum terbuka yang terdaftar di Bursa Efek Indonesia selama periode 2001 hingga 2006. Data penelitian diperoleh dari laporan keuangan tahunan yang berakhir tanggal 31 Desember dari masing-masing bank selama periode pengamatan. Hasil penelitian ini menunjukkan bahwa diversifikasi portofolio kredit ,diukur menggunakan Hirschman-Herfindahl Index (HHI), mempengaruhi risiko bank secara positif dan signifikan. Dengan demikian, bank dengan portofolio kredit terdiversifikasi akan memiliki rasio loan loss provisions dan rasio non-performing loans yang relatif lebih rendah. Deviasi standar dari rasio loan loss provision dan deviasi standar dari rasio non-performing loans juga akan relatif lebih rendah bagi bank yang memiliki portofolio kredit terdiversifikasi. Kata kunci: portofolio kredit, diversifikasi, risiko bank

Bank's intermediation function is supported by its loan portfolios performance. Minimizing bank's risk could be done through excellent loan portfolios management. Loan portfolio diversification was hoped could decreasing banks' credit risk. This paper is designed to test the effect of loan portfolios diversification to bank risk, in term of their credit risk using one year lag. The sample in this paper are 17 publicly traded banks in Indonesia and list in Indonesia Stock Exchange during the period from 2001-2006. We use data from banks' annual financial statements ended in December, 31 during the periods. Our result is loan portfolios diversification, measured by Hirschman-Herfindahl Index (HHI), has positively and significantly affects the bank's risk. This result means that bank with diversified loan portfolios would have lower relative loan loss provision ratio and non-performing loans ratio. The standard deviation of loan loss provision ratio and the standard deviation of non-performing loans ratio would lower relative for banks with diversified loan portfolios also. Keywords: Loan portfolios, diversification, bank's risk

Kata Kunci : portofolio kredit, diversifikasi, risiko bank, Loan portfolios, diversification, bank's risk