ANALISIS KINERJA KEUANGAN BANK UNTUK MEMPREDIKSI KEBANGKRUTAN

Suryanto , Suryanto (2002) ANALISIS KINERJA KEUANGAN BANK UNTUK MEMPREDIKSI KEBANGKRUTAN. Masters thesis, Program Pascasarjana Universitas Diponegoro.

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Abstract

ABSTRACT This study was conducted with the aim to see whether the financial ratios measured with CAMEL ratio were significantly different for the unhealthy banks at one side and for the healthy ones at the other. In addition, tests were also performed to reveal which financial ratios making discriminant between the unhealthy banks at one side and for the healthy ones at the other. There were thirteen independent variables employed in this study, i.e.: CAR, MTA, EATAR, TKTA, KPTTK, BPBOL, BOLTA, ROE, PBTA, OPM, CR, and RR respectively. Whereas statistical tests used in this study were univariate analysis and multivariate discriminant analysis. Test results indicated that variables which were significant at a = 5% for four years before their bankruptcy were CAR, CAPTA, KPTTK, BPBOL, BOLPO, BOLTA and OPM, respectively, while the other variables were not significant. Discriminant tests showed each of BPBOL, CR, MTA, and PBTA variables influencing each bank's successfulness and failure. The z-score value of the unhealthy bank was —0,674 whereas z-scores value 0,674 owned by the healthy bank. Classification result displayed that the percentage of accurately predicting for four years before their bankruptcy was 80,0%. Key words: CAMEL ratio, Univariate Analysis, Multivariate Discriminant Analysis, and z-score ABSTRAK Penelitian ini dilakukan dengan tujuan untuk melihat apakah rasio-rasio keuangan yang diukur dengan rasio CAMEL berbeda secara signifikan antara bank tidak sehat dengan bank sehat. Selain itu juga dilakukan pengujian untuk melihat rasio keuangan mana saja yang nnendiskriminankan antara bank tidak sehat dengan bank sehat. Ada 13 variabel independen yang digunakan dalam penelitian ini yaitu : CAR, MTA, EATAR, TKTA, KPTTK, BPBOL, BOLPO, BOLTA, ROE, PBTA, OPM, CR dan RR. Adapun model yang digunakan dalam penelitian ini adalah univariat analisis dan multivariat diskriminan analisis. Hasil pengujian menunjukkan bahwa variabel yang signifikan pada a = 5% untuk empat tahun sebelum bangkrut adalah CAR, CAPTA, KPTTK, BPBOL, BOLPO, BOLTA dan OPM,. sedangkan variabel yang lain ternyata tidak signifikan. Pengujian diskriminan menunjukkan variabel BPBOL, CR, MTA dan PBTA mempengaruhi keberhasilan atau kegagalan bank. Nilai z-score untuk bank tidak sehat -0.674 sedangkan bank sehat 0.674 dengan nilai cutoff0. Dad hasil klasifikasi ternyata persentase ketepatan memprediksi untuk empat tahun sebelum bangkrut 80,0%. Kata kunci : Rasio CAMEL, Univariate Analysis, Multivariate Discriminant Analysis dan z-score.

Item Type:Thesis (Masters)
Subjects:H Social Sciences > HG Finance
Divisions:Postgraduate Program > Master Program in Management
ID Code:9009
Deposited By:Mr UPT Perpus 2
Deposited On:22 Apr 2010 09:59
Last Modified:22 Apr 2010 09:59

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