[ABSTRAK
Penelitian ini menggunakan metode Credit Risk+ untuk menghitung risiko kreditpada PT Mandiri Tunas Finance selama periode Januari 2010 hingga Desember2012. Penggunaan metode Credit Risk+ membutuhkan data input berupa exposurekredit, exposure at default, dan recovery rates serta tidak mengasumsikanpenyebab default. Metode ini cocok digunakan untuk perhitungan risiko kreditretail. Asumsi default atau non performing loan (NPL) yaitu saat tunggakandebitur mencapai lebih dari 90 hari. Tahapan pengukuran risiko kredit yaitupertama menghitung exposure default dari portofolio, kedua menghitungfrequency of default, ketiga menghitung probability of default untuk mencaridistribution of losses yang terjadi pada PT Mandiri Tunas Finance. Frequency ofdefault dihitung dengan menggunakan asumsi tingkat keyakinan 95%.Perhitungan dengan metode ini menghasilkan nilai expected loss dan unexpectedloss serta economic capital. Economic capital adalah besarnya modal yangdigunakan untuk menutupi unexpected loss. Dalam penelitian ini digunakanbacktesting dan validasi menggunakan Loglikehood Ratio (LR) test dandidapatkan hasil senilai 0, dimana hasil tersebut lebih kecil dibandingkan nilaikritis chi squared sebesar 3,8415.Hasil ini menunjukkan bahwa metode CreditRisk+ yang digunakan dalam penelitian ini masih valid untuk mengukur risikokredit dan menghitung economic capital pada PT Mandiri Tunas Finance.;Credit Risk+ method is used to calculate the credit risk at PT Mandiri TunasFinance during the period January 2010 to December 2012 . Use of Credit Risk +method requires input data which is credit exposure, exposure defaults andrecovery rates, and do not assume cause of default . This method is suitable forretail credit risk calculations . Assumptions default or non- performing loan (NPL)is currently delinquent borrowers overdue more than 90 days. Stages of credit riskassessment is the first to calculate the default exposure of the portfolio, secondcalculate the frequency of default, third count the probability of default to seekdistribution of losses which occurred at PT Mandiri Tunas Finance. Frequency ofdefault calculated using the assumption of 95 % confidence level. Calculationswith this method generate expected loss and unexpected value loss and economiccapital . Economic capital is the amount of capital that is used to cover unexpectedloss. This study used backtesting and validation using Loglikehood Ratio ( LR )test and the results 0, where the result is less than the critical value of chi- squaredof 3,8415. These results indicate that the Credit Risk + method used in this studyare still valid for measuring credit risk and calculate economic capital at PTMandiri Tunas Finance;Credit Risk+ method is used to calculate the credit risk at PT Mandiri TunasFinance during the period January 2010 to December 2012 . Use of Credit Risk +method requires input data which is credit exposure, exposure defaults andrecovery rates, and do not assume cause of default . This method is suitable forretail credit risk calculations . Assumptions default or non- performing loan (NPL)is currently delinquent borrowers overdue more than 90 days. Stages of credit riskassessment is the first to calculate the default exposure of the portfolio, secondcalculate the frequency of default, third count the probability of default to seekdistribution of losses which occurred at PT Mandiri Tunas Finance. Frequency ofdefault calculated using the assumption of 95 % confidence level. Calculationswith this method generate expected loss and unexpected value loss and economiccapital . Economic capital is the amount of capital that is used to cover unexpectedloss. This study used backtesting and validation using Loglikehood Ratio ( LR )test and the results 0, where the result is less than the critical value of chi- squaredof 3,8415. These results indicate that the Credit Risk + method used in this studyare still valid for measuring credit risk and calculate economic capital at PTMandiri Tunas Finance, Credit Risk+ method is used to calculate the credit risk at PT Mandiri TunasFinance during the period January 2010 to December 2012 . Use of Credit Risk +method requires input data which is credit exposure, exposure defaults andrecovery rates, and do not assume cause of default . This method is suitable forretail credit risk calculations . Assumptions default or non- performing loan (NPL)is currently delinquent borrowers overdue more than 90 days. Stages of credit riskassessment is the first to calculate the default exposure of the portfolio, secondcalculate the frequency of default, third count the probability of default to seekdistribution of losses which occurred at PT Mandiri Tunas Finance. Frequency ofdefault calculated using the assumption of 95 % confidence level. Calculationswith this method generate expected loss and unexpected value loss and economiccapital . Economic capital is the amount of capital that is used to cover unexpectedloss. This study used backtesting and validation using Loglikehood Ratio ( LR )test and the results 0, where the result is less than the critical value of chi- squaredof 3,8415. These results indicate that the Credit Risk + method used in this studyare still valid for measuring credit risk and calculate economic capital at PTMandiri Tunas Finance]