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Perhitungan economic capital akibat risiko kredit pada PT Toyota Astra Financial Services menggunakan metode credit risk = Economic capital calculation for credit risk on PT Toyota Astra financial services using credit risk method

Rizaldy Iskandar; Dewi Hanggraeni, supervisor; Sembel, Roy Hendra Michael, examiner; Rofikoh Rokhim, examiner (, 2011)
 Abstrak
[ABSTRAK

Metode Credit Risk+ digunakan untuk menghitung Economic Capital akibat risiko
gagal bayar (default) pelanggan pada PT Toyota Astra Financial Services selama
periode Januari 2007 hingga Desember 2010. Penggunaan metode Credit Risk+
yang membutuhkan input data sederhana, berupa portofolio eksposur default dan
recovery rates, serta tidak mengasumsikan penyebab default, cocok digunakan
untuk perhitungan risiko kredit retail. Asumsi default atau non performing loan
menggunakan ketentuan Bank Indonesia, yaitu saat tunggakan melebihi 90 hari.
Metode pengukuran Credit Risk+ dilakukan dalam tiga tahap, pertama dengan
menghitung eksposur default portofolio, kedua dengan menghitung frequency of
defaults, ketiga dengan menghitung probability of default yang digunakan untuk
mencari distribution of losses yang terjadi pada PT Toyota Astra Financial
Services. Frequency of defaults dihitung dengan menggunakan asumsi tingkat
keyakinan sebesar 99%. Distribution of losses dihitung diperoleh dengan
menghitung besarnya expected loss, unexpected loss serta economic capital.
Besarnya modal yang digunakan untuk menutup unexpected loss inilah yang
disebut sebagai economic capital. Dalam penelitian ini dilakukan backtesting
dengan menggunakan loglikelihood ratio (LR) Test, dan diapatkan hasil sebesar 0
dimana hasil tersebut lebih kecil dibandingkan nilai kritis chi-squared sebesar
6.6439. Hasil ini menunjukkan bahwa metode Credit Risk+ yang digunakan dalam
penelitian ini masih valid digunakan sebagai model internal untuk mengukur
risiko kredit dan menghitung Economic Capital pada PT Toyota Astra Financial
Services.


Abstract

Credit Risk + methods is used to calculate the economic capital of customer
default risk at PT Toyota Astra Financial Services during the period of January
2007 to December 2010. Credit Risk + method only requires simple data input,
which is portfolio exposure to default and recovery rates, and do not assume the
cause of default. With simplicity offered, this method is suitable for retail credit
risk calculations. The assumption of non-performing loan or default is based of
Bank Indonesia regulation, when the overdue days of defaults exceed 90 days.
Credit Risk + measurement methods carried out in three stages, first by calculating
the portfolio default exposure, second by counting the frequency of defaults,
finally calculating the probability of default which is used to find the distribution
of losses that occurred at PT Toyota Astra Financial Services. Frequency of
defaults is calculated using the assumption of 99% confidence level. The
Distribution of losses is obtained by calculating the expected loss, unexpected loss
and economic capital. The amount of capital used to cover unexpected loss is
referred as economic capital. In this work, backtesting is done by using
Loglikelihood Ratio (LR) Test, and the obtained results is 0 which is smaller than
the critical value of chi-squared of 6.6439. These results indicate that the method
of Credit Risk + used in this work is still valid and can be used as an internal
model to measure credit risk and calculate economic capital at PT Toyota Astra
Financial Services.;Credit Risk + methods is used to calculate the economic capital of customer
default risk at PT Toyota Astra Financial Services during the period of January
2007 to December 2010. Credit Risk + method only requires simple data input,
which is portfolio exposure to default and recovery rates, and do not assume the
cause of default. With simplicity offered, this method is suitable for retail credit
risk calculations. The assumption of non-performing loan or default is based of
Bank Indonesia regulation, when the overdue days of defaults exceed 90 days.
Credit Risk + measurement methods carried out in three stages, first by calculating
the portfolio default exposure, second by counting the frequency of defaults,
finally calculating the probability of default which is used to find the distribution
of losses that occurred at PT Toyota Astra Financial Services. Frequency of
defaults is calculated using the assumption of 99% confidence level. The
Distribution of losses is obtained by calculating the expected loss, unexpected loss
and economic capital. The amount of capital used to cover unexpected loss is
referred as economic capital. In this work, backtesting is done by using
Loglikelihood Ratio (LR) Test, and the obtained results is 0 which is smaller than
the critical value of chi-squared of 6.6439. These results indicate that the method
of Credit Risk + used in this work is still valid and can be used as an internal
model to measure credit risk and calculate economic capital at PT Toyota Astra
Financial Services., Credit Risk + methods is used to calculate the economic capital of customer
default risk at PT Toyota Astra Financial Services during the period of January
2007 to December 2010. Credit Risk + method only requires simple data input,
which is portfolio exposure to default and recovery rates, and do not assume the
cause of default. With simplicity offered, this method is suitable for retail credit
risk calculations. The assumption of non-performing loan or default is based of
Bank Indonesia regulation, when the overdue days of defaults exceed 90 days.
Credit Risk + measurement methods carried out in three stages, first by calculating
the portfolio default exposure, second by counting the frequency of defaults,
finally calculating the probability of default which is used to find the distribution
of losses that occurred at PT Toyota Astra Financial Services. Frequency of
defaults is calculated using the assumption of 99% confidence level. The
Distribution of losses is obtained by calculating the expected loss, unexpected loss
and economic capital. The amount of capital used to cover unexpected loss is
referred as economic capital. In this work, backtesting is done by using
Loglikelihood Ratio (LR) Test, and the obtained results is 0 which is smaller than
the critical value of chi-squared of 6.6439. These results indicate that the method
of Credit Risk + used in this work is still valid and can be used as an internal
model to measure credit risk and calculate economic capital at PT Toyota Astra
Financial Services.]
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 Metadata
No. Panggil : T29492
Pengarang :
Pengarang/kontributor lain :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2011
Program Studi :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated ; computer
Tipe Carrier : volume ; online resource
Deskripsi Fisik : xv, 70 pages : illustration ; 28 cm + apendix
Catatan Bibliografi : pages 69-70
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
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T29492 15-18-786045824 TERSEDIA
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