Analisis interest rate risk in banking book (IRRBB) di Bank Mandiri periode Januari 2008-Juni 2009

SJAFRIZAL, Jogiyanto Hartono, Prof., Dr., MBA

2009 | Tesis | S2 Magister Manajemen

Studi ini bertujuan untuk menganalisis besamya risiko suku bunga terhadap pos1s1 banking book yang dimil iki oleh Bank Mandiri dalam kurun waktu Januari 2008 - Junj 2009. Risiko suku bunga dihitung berdasarkan perhitungan internal Bank Mandiri dengan menggunakan metode simulasi untuk menentukan besamya risiko suku bunga dari sudut pandang earning perspective (income) ataupun besamya risiko suku bunga dari sudut pandang nilai ekonomis modal (economic value perspective). Berdasarkan hasil survey oleh Tim Basel II pada tahun 2008 diperoleh kesimpulan bahwa risiko suku bunga yang dihadapi oleh lebih dari separuh responden adalah risiko yang termasuk kategori 'outliers' (berdampak kepada penurunan modal lebih dari 20%). Hal im akan berdampak pada penyediaan modal yang lebih tinggi, sehingga rencana kerja dan ekspansi usaha akan terganggu. Untuk itu setiap bank perlu meyakinkan risiko suku bunga posisi banking book yang dimilikinya tidak termasuk dalam kategori 'outlier'. Hasil dari uji siginfikansi atas hipotesis terhadap risiko yang dimiliki menghasilkan kesimpulan bahwa berdasarkan standar limit risiko Basel dan Bank Indonesia (20% modal), tingkat risiko suku bunga posisi banking book Bank Mandiri adalah rendah. Namun bila menggunakan risk appetite manajemen Bank Mandiri (5% target Nil), risiko suku bunga posisi banking book termasuk dalam kategori tinggi. Sehingga pengelolaan risiko suku bunga posisi banking book perlu secara hati-hati dilakukan, terutama dengan menjaga posisi banking book atas target ekspansi usaha agar secara prudent menyesuaikan dengan pergerakan suku bunga dan tetap menjaga spread margin yang tinggi. Kata kunci: interest rate risk in banking book, asset & liability managment, Bank Mandiri, income simulation, deterministic rate movement, stochastic rate movement

The objective of this study is to analyse the amount of interest rate risk in banking book position faced by Bank Mandiri during the period of January 2008 - June 2009. The measurement method used by Bank Mandiri was the simulation method, that is the predictive method to calculate interest rate risk from the earning (income) perspective as well as to calculate interest rate risk from the economic value perspective. From the survey held by Bank Indonesia-Basel II, it has a shock evidence that based on 2008 survey they found that more 50% of respondents faced the high interest rate risk in banking book position - 'outliers category' (the risk which will reduce their capital more than 20%). The bank with this outliers category should maintain the higher capital adequacy, the bad consequences for their business expansion strategy. For this reason, every bank must make sure that they do not in the position of 'outliers category'. Based on the hypothesis testing, this study concluded that based on the limit from Basel and Bank Indonesia (20% of equity) Bank Mandiri has a low interest rate risk in banking book position. But from the management risk appetite (5% of target NU) Bank Mandiri has a high interest rate risk in banking book position. From this point of view, the bank should pratice the prudent management of interest risk in banking book position, especially by cautiously monitor their banking book position created from the target expansion that should be in line with the movement of interest rate, and by keeping the high spread margin. Kata kuuci: interest rate risk in banking book, asset & liability managment, Bank Mandiri, income simulation, deterministic rate movement, stochastic rate movement

Kata Kunci : Interest rate risk, Banking book, Asset management, Liability management, Bank Mandiri, Income simulation