Hasil Pencarian  ::  Simpan CSV :: Kembali

Abstrak :
[ABSTRAK
Tesis ini bertujuan untuk menguji adanya kausalitas antar risiko perbankan dan dampaknya terhadap probabilitas kegagalan bank. Penelitian ini menggunakan data individu perbankan dari 5 negara, seperti Filipina, Indonesia, Malaysia, Singapura, dan Thailand. Untuk menguji adanya kausalitas dalam risiko perbankan, dipergunakan VAR-Granger Causality model. Sebagai tambahan, model regresi OLS dipergunakan untuk menguji dampak dari interaksi antar risiko ini terhadap probabilitas kegagalan bank. Hasil dari penelitian ini adalah kausalitas antar risiko kredit dan risiko likuiditas hanya ditemukan di Malaysia. Sedangkan, kausalitas antar risiko kredit dan risiko tingkat suku bunga ditemukan di Filipina, Malaysia, Thailand, dan ASEAN. Namun, tidak ditemukan adanya pengaruh dari interaksi antar risiko ini terhadap probabilitas kegagalan. Probabilitas kegagalan terbukti kuat dipengaruhi oleh risiko kredit, ukuran bank, dan produk domestik bruto.

---

ABSTRACT
This thesis aims to investigate the occurrence of causality in banking risks and its impact on probability of default. This thesis used individual bank data of five countries, i.e: Indonesia, Malaysia, Singapore, Thailand, and the Philippine. In order to investigate the occurrence of causality in banking risks, we used VARGranger Causality model. In addition, OLS regression models are used to investigate the impact of this causality on default probability. Results of this study revealed that the causality between credit risk and liquidity risk only occurred in the Philippine, Malaysia, Thailand, and all banks in ASEAN. However, the impact of the interaction between banks risk on default probability is not significant. Furthermore, credit risk, bank size, and gross domestic product are significantly impact probability of default, This thesis aims to investigate the occurrence of causality in banking risks and its impact on probability of default. This thesis used individual bank data of five countries, i.e: Indonesia, Malaysia, Singapore, Thailand, and the Philippine. In order to investigate the occurrence of causality in banking risks, we used VARGranger Causality model. In addition, OLS regression models are used to investigate the impact of this causality on default probability. Results of this study revealed that the causality between credit risk and liquidity risk only occurred in the Philippine, Malaysia, Thailand, and all banks in ASEAN. However, the impact of the interaction between banks risk on default probability is not significant. Furthermore, credit risk, bank size, and gross domestic product are significantly impact probability of default]

Abstrak :
Riset ini bertujuan untuk mengukur probabilitas kegagalan dari bank di Indonesia. 22 buah sampel bank diambil dan dikategorikan berdasarkan total aset menjadi bank besar, medium, kecil, serta berdasarkan kepemilikan dan aktivitas bisnis. Bank tersebut terdaftar di Bank Indonesia dan OJK. Dalam pengukuran probabilitas kegagalan, replikasi terhadap model merton black-scholes digunakan untuk mendapatkan jarak menuju kegagalan serta probabilitas kegagalan. Hasil akhir merupakan probabilitas kegagalan dari 22 sampel bank di Indonesia dari 2005 hingga 2016. Hasil menunjukkan peningkatan probabilitas kegagalan di akhir periode dan menunjukkan campuran fluktuasi serta sedikit peningkatan pada periode awal. Riset ini kemudian menganalisa secara deskriptif rasio finansial yang berkaitan di periode sampel yang didapatkan dari OJK. ......This research aims to measure probability of default in banks in Indonesia. 22 sample banks were taken which then categorized by total asset into big, medium, small banks, and according to their ownership and business activities. Banks are registered in Bank Indonesia and OJK. In measuring probability of default, a replication of merton black scholes model is used to identify distance to default and the probability of default. The result is probability of default of 22 sample banks in Indonesia from 2005 to 2016. Final result shows increase in default probability in the latter period while showing mixed fluctuation and slight increase in the early period. This research analyzes further by describing related financial ratios in the sample period provided from OJK.

Abstrak :
ABSTRAK
Tesis ini membahas Estimasi resiko kebangkrutan merupakan komponen penting bagi perusahaan yang telah terdaftar di Bursa Efek Indonesia. Untuk mencegah dan mengantisipasi resiko kebangkrutan tersebut, perlu adanya suatu model estimasi yang dapat memprediksi kebangkrutan terhadap perusahaan.kemudian dilakukan validasi model terhadap keadaan kebangkrutan nyata yang terjadi. diharapkan secara statistik maupun secara akurasi model tersebut dapat memprediksi kebangkrutan nyata, sehingga manfaat dari penelitian dapat dirasakan secara nyata untuk pihak terkait. Model penelitian yang digunakan merupakan replikasi model Merton- KMV yang digunakan oleh Merxe Tudela dan Garry Young dengan menggunakan data Indonesia sehingga dapat terlihat bagaimana karakteristik resiko dari perusahaan yang ada di Indonesia. Hasil analisis menunjukan bahwa Merton-KMV model secara stastistik berpengaruh signifikan terhadap potensi kegagalan yang dihadapi perusahaan.Selain itu, nilai estimasi model tersebut mampu membedakan perusahaan yang mengalami kegagalan maupun yang tidak.Namun, interpretasi terhadap model ini perlu dilakukan secara hati – hati dikarenakan keterbatasan data yang ada di Indonesia.

---

ABSTRAK
This thesis discusses the bankruptcy risk estimation is a critical component for companies that have been listed on the Indonesia Stock Exchange. To prevent the risk of bankruptcy and anticipate the need for an estimation model that can predict the bankruptcy of the company. then validated the model against actual state of the bankruptcy case. and is statistically expected accuracy of the model can predict the real bankruptcy, so that the benefits of research can be felt real to related parties. The model used in this study is a replication of Merton-KMV models used by Merxe Tudela and Garry Young using Indonesian data so it can be seen how the risk characteristics of the companies that exist in Indonesia. The results of the analysis showed that the Merton-KMV model as a statistical significant effect on the company faced a potential failure. In addition, the estimated value of the model is able to distinguish companies that have failed or not. However, interpretation of these models needs to be done carefully - be due to limitations of the existing data in Indonesia.

Abstrak :
Dalam penelitian ini, efek dari intensitas dan durasi hujan terhadap faktor keamanan dianalisis pada geometri lereng galian yang berbeda pada lereng tak jenuh untuk tanah merah tropis dengan menggunakan analisis probabilitas. Geometri lereng galian dibedakan dengan ketinggian 10m, 20m, 30m dengan sudut 27°, 45°, 55°, dan 70° dan hujan memiliki tiga pola, yaitu normal, advanced, dan delayed dengan durasi tiga hari. Analisis rembesan dilakukan dengan SEEP/W dan stabilitas lereng dengan SLOPE/W. Perubahan persentase probabilitas kegagalan terbesar selama hujan didapatkan pada lereng 10m dengan sudut 70° pada pola hujan advanced dikarenakan infiltrasi air hujan sehingga terjadi kenaikan tegangan air pori negatif.

---

In this research, effect of rainfall intensity and duration to the Safety Factor will be analysed in different excavated slope geometries on unsaturated slope by conducting probabilistic analysis. Excavated slopes are differentiated into 10m, 20m, and 30m height and 27°, 45°, 55°, and 70° angles and three rainfall patterns, which are normal, advanced, and delayed with three days duration. Seepage analysis is conducted with SEEP W and slope stability with SLOPE W. Significant failure probability percentage throughout the rain is reached for 10m and 70° slope in advanced rainfall pattern due to rainfall infiltration which increases the negative pore water pressure.