SETIASTININGSIH, Anggita and MUHARAM, Harjum and MAWARDI, WISNU (2016) ANALISIS PERBANDINGAN RISIKO KREDIT DENGAN MENGGUNAKAN PENDEKATAN CREDITRISK+ DAN PENDEKATAN STANDAR (Studi pada Kredit Usaha Mikro PT Bank Mandiri (Persero) Tbk MBDC Semarang Tahun 2013-2014). Masters thesis, Diponegoro University.
This research is aimed to measure the credit risk for KUM Bank Mandiri by using Creditrisk+ approach. Currently Bank Mandiri has been using standardized approach in measuring KUM. But this approach is assumed that it is not reflecting the actual credit risk. Measuring the credit risk is continued with comparing the capital charge that is provided by using Creditrisk+ and standardized approach whether it is different significantly, testing creditrisk+ accuracy rate in deciding KUM risk through back testing, and evaluating if CreditRisk+ approach can be used as internal model that fulfills Bank of Indonesia’s criteria. Inputting the data are required for KUM credit risk measurement by using standardized and Creditrisk+ approach is originated from KUM Bank Mandiri MBDC Semarang historical data for period of two years such as outstanding, credit collectibility dan recovery rate. The data that being used are monthly credit data during 24 months starting from Januari 2013 until Desember 2014 in order to get the latest condition data of KUM. Based on the research conducted are the difference of capital needed based on standardized approach and CreditRisk+ approach is significant. Test of hypothesis is doing by statistical test using t-test with confidence level 99%. The result were t-test is (6,50) higher than t-table (3,499) so we conclude that reject H0 and accept H1.
|Item Type:||Thesis (Masters)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||School of Postgraduate (mixed) > Master Program in Management|
|Deposited By:||Mr Endhar Priyo Utomo|
|Deposited On:||04 May 2016 16:54|
|Last Modified:||04 May 2016 16:54|
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