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