Analisis Pengaruh Penerapan Enterprise Risk Management Terhadap Risiko dan Kinerja Bank di Indonesia Tahun 2011-2021
Charli Daniel, Bowo Setiyono, S.E., M.Com., Ph.D.,
2023 | Tesis | S2 MANAJEMEN (MM) JAKARTA
Penelitian ini bertujuan untuk menguji pengaruh Enterprise Risk Management
(ERM) terhadap risiko dan kinerja bank. Penelitian dilakukan pada bank yang terdaftar
pada Bursa Efek Indonesia (BEI) periode tahun 2011-2021. Jumlah
sampel dalam penelitian ini sebanyak 47 bank yang dipilih menggunakan metode purposive
sampling. Variabel independen enterprise risk management diukur
dengan metode descriptive analysis pada laporan tahunan, sedangkan
variabel dependen risiko perusahaan diukur dengan rasio standard deviation
return on asset (SDROA), standard deviation return on equity (SDROE)
dan Z-Score, untuk variabel dependen kinerja bank diukur dengan return
on asset (ROA), return on equity (ROE) dan net interest
margin (NIM). Selain itu menggunakan variabel kontrol meliputi ukuran
perusahaan, capital adequacy ratio (CAR), likuiditas, dan deposit
growth. Disamping itu, menggunakan alternatif variabel (robustness) risk
adjusted return on asset (RAROA) dan risk adjusted return on equity (RAROE).
Metode
analisis yang digunakan adalah regresi berganda data panel yang meliputi common
effect model, fixed effect model, dan random effect model.
Data diolah menggunakan software Eviews 12 dan Stata 17. Hasil analisis
menunjukkan adanya pengaruh negatif signifikan enterprise risk management
terhadap risiko dan kinerja bank. Hasil analisis juga menunjukkan hal yang sama
terhadap alternatif model (robustness), enterprise risk management berpengaruh
negatif signifikan terhadap risk adjusted return on asset dan risk adjusted
return on equity dengan taraf signifikansi 5%.
The
purpose of this study is to examine the impact of Enterprise Risk Management
(ERM) on the risk and performance of banks. The study was conducted on banks listed
on the Indonesia Stock Exchange (IDX) during the period from 2011 to 2021. The
sample size for this study consisted of 47 banks, selected using purposive
sampling method. The independent variable, enterprise risk management, was
measured using descriptive analysis of annual reports, while the dependent
variables, company risk, were measured using the standard deviation of return
on assets (SDROA), standard deviation of return on equity (SDROE), and Z-Score.
The dependent variables for bank performance were measured using return on
assets (ROA), return on equity (ROE), and net interest margin (NIM).
Additionally, control variables were used, including firm size, capital
adequacy ratio (CAR), liquidity, and deposit growth. Furthermore, alternative
variables (robustness) such as risk-adjusted return on assets (RAROA) and
risk-adjusted return on equity (RAROE) were also employed.
The
analysis method used in this study was multiple regression with panel data,
including common effect model, fixed effect model, and random effect model. The
data was processed using Eviews 12 and Stata 17 software. The analysis results
indicate a significant negative impact of enterprise risk management on both
the risk and performance of banks. The results also show a similar pattern for
the alternative models (robustness), where enterprise risk management has a
significant negative effect on risk-adjusted return on assets and risk-adjusted
return on equity, with a significance level of 5%.
Kata Kunci : enterprise risk management, risiko bank, kinerja bank