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Abstrak :
Tesis ini membahas tentang pengaruh tingkat ukuran konsentrasi portofolio kredit terhadap kinerja bank di masa Pandemi COVID-19, yang menjadi penting karena bank harus mengambil kebijakan yang tepat untuk menghindari risiko gagal bayar akibat guncangan ekonomi selama Pandemi COVID-19. Sifat penelitian ini adalah kuantitatif, menggunakan metode estimasi EGLS pada data panel dari 47 bank umum yang go public di Indonesia selama tahun 2016–2021. Dalam penelitian ini, Hirschman-Herfindahl Index (HHI) berdasarkan sektor ekonomi digunakan sebagai ukuran konsentrasi portofolio kredit. Riset ini mengungkapkan bahwa konsentrasi portofolio kredit akan mengurangi risiko kredit yang diukur dengan proksi rasio kredit bermasalah (non performing loan/ non performing financing) sebelum pandemi COVID-19. Sebaliknya, saat pandemi COVID-19 konsentrasi portofolio kredit akan meningkatkan risiko kredit. Di sisi lain, portofolio kredit yang terkonsentrasi akan membuat profitabilitas bank yang diukur dengan return on equity (ROE) semakin menurun sebelum pandemi COVID-19, namun sesudah pandemi COVID-19 konsentrasi portfolio justru meningkatkan profitabilitas bank. Hasil penelitian menyarankan bank untuk melakukan strategi diversifikasi agar dapat mengurangi risiko kredit. ......This research discusses the effect of the level of concentration of credit portfolios on bank performance during the COVID-19 pandemic, which is important because banks must take appropriate policies to avoid the risk of default due to economic shocks during the COVID-19 pandemic. The nature of this research is quantitative, using the EGLS estimation method on panel data from 47 commercial banks that went public in Indonesia during 2016–2021. In this study, the Hirschman-Herfindahl Index (HHI) based on economic sector is used as a measure of the concentration of the credit portfolio. This research reveals that the concentration of the credit portfolio will reduce credit risk as measured by the ratio of non-performing loans (non-performing financing) before the COVID-19 pandemic. On the other hand, after the COVID-19 pandemic, the concentration of the credit portfolio will increase credit risk. On the other hand, a concentrated credit portfolio will reduce bank profitability as measured by return on equity (ROE) before the COVID-19 pandemic, but after the COVID-19 pandemic, portfolio concentration actually increases bank profitability. The results suggest that banks should carry out a diversification strategy in order to reduce credit risk.

Abstrak :
Abstract. Credit disbursement is an investment decision in the banking business. Therefore, the concept of "high risk high return" becomes the focus of banks in managing credit. One of the effort of these banks to manage risk and enhancing/ increasing returns is forming their portfolio. This research was conducted in one of the state banks in Indonesia, which has the goal of increasing lending in the retail and commercial segments. Single Index Model is used to find the optimal composition of the economic sector. This model recommends economic sectors into the portfolio on the basis of Excess Return to Beta, which represents the difference between the rates of return in the form of interest income with a risk-free asset returns, divided by beta sectors of the economy itself. The results showed that the return portfolio can be improved and the risks derived using that approach. Banking business purpose is the return and growth so that the portfolio optimization needs to be supported with other parameters when the economic sectors that are not recommended put in a portfolio. Analysis of the performance of RAROC is a performance metric that of performance that computes net profit after adjusting for potential losses than capital allocation, can be used to help the formation of portfolios that received the return and risk are still in line with expectations.

Abstrak. Penyaluran kredit merupakan investment decision dalam bisnis perbankan. Oleh sebab itu konsep " high risk high return" menjadi fokus perbankan dalam mengelola kredit. Salah satu upaya perbankan mengelola risiko dan meningkatkan return adalah membentuk portofolio. Penelitian ini dilakukan di salah satu bank pemerintah di Indonesia yang mempunyai target meningkatkan penyaluran kredit di segmen retail dan commercial. Single Index Model digunakan untuk mencari komposisi optimal dari sektor ekonomi. Model ini merekomendasi sektor ekonomi yang masuk ke dalam portofolio atas dasar Excess Return to Beta yang merupakan selisih antara tingkat return berupa pendapatan bunga dengan return asset bebas risiko (SBI) dibagi dengan beta sektor ekonomi itu sendiri. Hasil penelitian menunjukkan bahwa return porofolio dapat ditingkatkan dan risiko diturunkan dengan menggunakan pendekatan tersebut. Tujuan bisnis perbankan adalah return dan growth sehingga optimalisasi portofolio perlu didukung dengan parameter lain ketika sektor ekonomi yang tidak direkomendasikan dimasukkan ke dalam portofolio. Analisis RAROC yaitu suatu metrik kinerja yang menghitung keuntungan bersih setelah disesuaikan dengan potensi kerugian dibanding alokasi modalnya digunakan untuk membantu pembentukan portofolio sehingga return dan risiko yang diterima masih sesuai dengan harapan.

Abstrak :
Krisis yang melanda industri perbankan di berbagai negara telah mendorong Basel Committee untuk merevisi regulasi perbankan international yang telah diatur melalui Basel I. Pada tahun 2001, Basel Committee telah menerbitkan Basel II. Bank Indonesia sebagai regulator perbankan juga berusaha untuk menerapkan Basel II tersebut di Indonesia. Bank Indonesia berharap dengan penerapan Basel II tersebut akan memperkuat kerangka kerja dan stabilitas perbankan nasional yang pada akhirnya akan mendorong praktik-praktik manajemen risiko yang lebih baik dalam industri perbankan. Karya tulis ini berusaha memberikan gambaran mengenai dampak implementasi Standardised Approach pada risiko kredit terhadap rasio kebutuhan modal minimum dan portofolio kredit pada salah satu bank swasta nasional di Indonesia. Perhitungan rasio kecukupan modal Bank X dilakukan berdasarkan: (i) peraturan Bank Indonesia saat ini yang masih mengacu pada ketentuan Basel I; (ii) standardised approach; (iii) adjusted standardised approach, dan (iv) peraturan Bank Indonesia melalui SE BI No. 8/3/DPNP 2006. Data yangdipergunakan dalam karya tulis ini diperoleh dari Laporan Keuangan Tahunan 2004 dan data internal per 31 Oktober 2005 dari Bank X.

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The crisis in banking industry that happened in many countries has driven Basel Committee to revise the international banking regulation, which had been organized in Basel I. As a result, in the year of 2001, Basel Committee had published Basel II. As a regulator of Indonesian banking industry, the Central Bank of Indonesia has also tried to implement Basel II in Indonesia. The Central Bank expect, that by the implementation of Basel II, will strengthen the framework and stability of national banking industry, and will encourage a better risk management practices in the banking industry eventually. This paper is attempt to provide an insight of the implementation of Standardized Approach in credit risk towards Capital Adequacy Ratio and credit portfolio in one of private banks in Indonesia. The calculation of Capital Adequacy Ratio of Bank "X" is being done under several scenarios, such as: (i) current regulation of Central Bank of Indonesia based on Basel I; (ii) Standardized Approach; (iii) Adjusted Standardized Approach; and (iv) regulation of Central Bank of Indonesia, specifically in SE BI No. 8131DPNP 2006. The figures being used in this paper is taken from Annual Report of year 2004 and internal information as of 31 October 2005 of Bank "X".