ANALISIS OPERATIONAL VALUE AT RISK (OPVAR) MENGGUNAKAN LOSS DISTRIBUTION APPROACH (LDA) STUDI PADA PT BANK "X"

I G N ANOM SEDANA P, Bowo Setiyono., S.E.,M.Com.,Ph.D.,

2021 | Tesis | MAGISTER MANAJEMEN (KAMPUS JAKARTA)

Pada Laporan Keuangan Tahunan 2020, PT Bank "X" menunjukkan Aktiva Tertimbang Menurut Risiko (ATMR) risiko operasional mengalami kenaikan sepanjang tahun 2018 sampai dengan 2020 jika dibandingkan total ATMR keseluruhan. Beban risiko operasional akan diketahui melalui perhitungan beban modal risiko operasional. Sebagai bank dengan posisi high regulated, telah melakukan perhitungan beban modal risiko operasional menggunakan Basic Indicator Approach (BIA) dengan komponen gross income. Selain itu, gross income juga digunakan pada perhitungan beban risiko operasional metode Standardized Approach (SA). Naik turunnya gross income akan berbanding lurus dengan kenaikan beban modal risiko operasional dan turut berdampak pada kenaikan ATMR dan rasio Kewajiban Pemenuhan Modal Minimum (KPMM). Terdapat metode pengukuran risiko operasional yang memiliki sensitivitas dan kemampuan untuk memperkirakan kerugian yang di masa depan yaitu Advanced Measurement Approach (AMA) menggunakan Loss Distribution Approach (LDA). LDA menghasilkan perhitungan Operational Value at Risk (OpVaR) atas dasar data internal kerugian risiko operasional periode Januari 2011 sampai dengan Desember 2020 di PT Bank "X" pada confidence level 99,90% (sesuai ketentuan Basel). Perhitungan OpVaR menggunakan pendekatan aggregated loss distribution dengan kombinasi distribusi frekuensi dan dampak per masing-masing tipe kerugian, setelah itu dilakukan pengujian proyeksi kerugian operasional menggunakan proses back testing melalui perbandingan nilai OpVaR dengan realisasi kerugian operasional. Total OpVaR didapatkan sebesar Rp340,99 Miliar. LDA menghasilkan KPMM lebih besar dibandingkan BIA dan SA yaitu KPMM BIA sebesar 16,86%, KPMM SA sebesar 18,39% dan KPMM LDA sebesar 19,320%. Sehingga, LDA memberikan capital saving lebih banyak dibandingkan dengan BIA dan SA PT Bank "X", yaitu pada komponen beban modal total (risiko pasar, kredit dan operasional) efisien 12,6% atau setara Rp 6.525.081 juta jika dibandingkan dengan BIA dan efisien 4,54% atau setara Rp 2.155.929 juta jika dibandingkan dengan SA.

In the 2020 Annual Financial Report, PT Bank "X" shows that the Risk Weighted Assets (RWA) has increased operational risk throughout 2018 to 2020 when compared to the total RWA as a whole. The operational risk burden will be known through the calculation of the operational risk load. As a bank with a high regulated position, it has calculated operational risk capital charges using the Basic Indicator Approach (BIA) with a gross income component. In addition, gross income is also used in calculating operational risk expense using the Standardized Approach (SA). The rise and fall of gross income will be directly proportional to the increase in operational risk capital expenses and will also have an impact on the increase in bank Risk Weighted Asset (RWA) and the Capital Adequacy Ratio (CAR). There is a method of measuring operational risk that has the sensitivity and ability to estimate future losses, namely the Advanced Measurement Approach (AMA) using the Loss Distribution Approach (LDA). LDA generates an Operational Value at Risk (OpVar) calculations based on internal data on operational risk losses for the period January 2011 to December 2020 at PT Bank "X" at a confidence level of 99.90% (according to Basel regulations). The calculation of OpVaR uses an aggregated loss distribution approach with a combination of frequency distribution and the impact of each type of loss, after which the operational loss projection is tested using the back testing process by comparing OpVaR value with the realization of operational losses. The total OpVaR obtained IDR 340.99 billion. LDA produces greater CAR than the BIA and SA, namely the CAR of the BIA method of 16.86%, the CAR of the SA of 18.39% and the CAR LDA of 19.32%. Thus, LDA provides more capital saving compared to BIA and SA PT Bank "X", namely the components of total capital load (market, credit and operational risks) are efficient 12.6% or equivalent to Rp. 6,525,081 million when compared to BIA and efficient by 4.54% or equivalent to Rp. 2,155,929 million when compared to SA.

Kata Kunci : Beban Modal Risiko Operasional, Basic Indicator Approach, Standardized Approach, Loss Distribution Approach, Operational Value at Risk, Kewajiban Pemenuhan Modal Minimum, Capital Saving, Operational Risk Capital Expenses, Basic Indicator Approach, Standar