PEMODELAN RISIKO KREDIT DEBITUR BANK PERKREDITAN RAKYAT (BPR) BERBASIS ZETA CREDIT RISK MODEL Studi Empirik terhadap Debitur BPR di Wilayah Jakarta

WIDIYANTO, Bambang (2011) PEMODELAN RISIKO KREDIT DEBITUR BANK PERKREDITAN RAKYAT (BPR) BERBASIS ZETA CREDIT RISK MODEL Studi Empirik terhadap Debitur BPR di Wilayah Jakarta. PhD thesis, Program Pascasarjana Undip.

[img]
Preview
PDF
546Kb

Abstract

Tujuan penelitian ini adalah membangun model peramalan risiko kredit debitur Bank Perkreditan Rakyat (BPR) dengan model ordinal logistic regression. Penelitian ini merupakan modifikasi dari model ZETA credit risk yang bertujuan untuk menguji pengaruh kondisi keuangan dari debitur serta faktor non keuangan yaitu sektor ekonomi dari usaha debitur terhadap probabilitas risiko kredit bagi BPR. Variabel capitalization, profitability dan liquidity pada debitur yang dikembangkan menjadi 11 rasio keuangan digunakan dalam penelitian ini ditambahkan suku bunga kredit dan sektor ekonomi debitur. Populasi penelitian adalah debitur pada BPR yang melakukan usahanya di wilayah Jakarta. Sebanyak 183 debitur diperoleh dan dapat berpartisipasi dalam penelitian ini. Data primer yang diperoleh dengan menggunakan kuesioner berisi data kondisi keuangan debitur pada Desember 2008, Maret 2009, Juni 2009 dan September 2009 digunakan sebagai data penelitian. Kriteria kualitas kredit yang ditetapkan BPR disebut risiko kredit pada posisi Desember 2009 digunakan sebagai variabel dependen dengan diberi peringkat kualitas kredit lancar diberi kode 1, kurang lancar diberi kode 2, diragukan diberi kode 3 dan macet diberi kode 4. Model analisis ordinal logistic regression digunakan dalam penelitian ini. Hasil penelitian menunjukkan bahwa modifikasi model ZETA credit risk yang terdiri dari aspek capitalization, profitability dan liquidity ditambah suku bunga kredit dan sektor ekonomi debitur dapat menjadi model yang dapat digunakan untuk memprediksi risiko kredit debitur BPR. Prediktabilitas terbaik dalam penelitian ini diperoleh terhadap variabel Return on Equity, suku bunga kredit dan sektor ekonomi debitur yang secara signifikan dan konsisten mampu memprediksi risiko kredit debitur untuk 12 bulan ke depan atau kualitas kredit debitur menjadi macet. Lebih spesifik lagi debitur dengan sektor usaha jasa memiliki kemampuan yang lebih baik dalam melakukan pembayaran angsuran kredit dibandingkan dengan debitur sektor usaha perdagangan. Sedangkan variabel EQUITY hanya mampu memprediksi risiko kredit debitur untuk 6 bulan hingga 12 bulan kedepan atau kualitas kredit debitur menjadi diragukan dan macet. Kata kunci : Zeta credit risk, Bank Perkreditan Rakyat, Non Performing Loan, Risiko Kredit Debitur, Ordinal Logistic Regression. The purpose of this research is to develop a model of Rural Bank (Bank Perkreditan Rakyat/BPR) debtor credit risk prediction by using ordinal logistic regression model. This research is a modification of ZETA credit risk model with an objective to estimate the impact of debtor financial condition and non financial factor, that is economic sector of debtor’s business to probability of credit risk of BPR. The research is done by developing the variables of capitalization, profitability and liquidity into 11 financial ratios, the interest rate and debtor economic sector are included. The population is all debtors of BPR whose businesses are located in Jakarta area. The respondents that were able to be reached and participated were 183 debtors. To support the research, primary data was developed from questionnaire which covered the data of debtors’s financial condition as of December 2008, March 2009, June 2009 and September 2009. Criteria of quality of credit that was set up by BPR as of December 2009 was used as dependent variable and rated into 4 categories, pass (code 1), substandard (code 2), doubtful (code 3), and loss (code 4). This research applied ordinal logistic regression. The results show that modification of ZETA credit risk model which consist of capitalization, profitability, and liquidity, added by interest rate risk and economic sector of debtors is able to be implemented as a model to predict BPR’s debtor credit risk. The best prediction in this research applied to Return on Equity, credit interest rate and debtor’s economic sector. Those variables are significantly and consistently able to predict debtor credit risk for the next 12 months or probability of a credit / loan become substandard, doubtful or loss. More specific, the results show that debtors who provide services as their core-business (service sector) have better capabilities in term of payment than those in trade sector. On the other hand, EQUITY variable can only predict debtor credit risk for the next 6 to12 months or the changes of credit quality become doubtful or loss. Key words : Zeta credit risk, Rural Bank (Bank Perkreditan Rakyat), Non Performing Loan, Debtor Credit Risk, Ordinal Logistic Regression.

Item Type:Thesis (PhD)
Subjects:H Social Sciences > HC Economic History and Conditions
Divisions:School of Postgraduate (mixed) > Doctor Program in Economics
ID Code:40866
Deposited By:Mrs Ekana Perpus Pasca
Deposited On:02 Dec 2013 10:46
Last Modified:02 Dec 2013 10:46

Repository Staff Only: item control page