Hidayat, Taufiq (2022) Sistem Peringatan Dini untuk Mendeteksi Risiko Kebangkrutan Bank di Indonesia Terdampak Pandemi Covid-19: Pendekatan Dinamika Sistem. S3 thesis, Universitas Padjadjaran.
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Abstract
The global COVID-19 pandemic has greatly affected people life, and its impact is very significant, especially in the economic sector, including the banking sector. To reduce credit risk and bank capital risk in Indonesia, the Otoritas Jasa Keuangan (OJK/ The Indonesia Financial Services Authority), issued a credit restructuring policy in March 2020 and is planned to end in March 2022. This study is to propose the risk scenario of the bank after the credit restructuring policy of OJK moratorium on March 2022 and propose the internal bank policy simulation to mitigate the effect to credit risk in term of Non-Performing Loan (NPL) and to insolvency risk in term of Capital Adequacy Ratio (CAR). This paper is based on the data of Bank BNI, Bank BRI and Bank Mandiri including the annual report, Indonesia Banking Statistic as well as the Indonesian Banking Stability Report, and used the Powersim Studio 10© software. System dynamic methodology was used to simulates the scenario of bank risk and to simulates the internal bavink policies to mitigate the risk. In contrast to previous research models that produce historical information, by using the system dynamics methodology this research is able to provide information on the level of credit risk (NPL) and bank capital (CAR) during the ongoing pandemic and future forecasts due to environmental and policy changes while simultaneously simulating policy designs for mitigation the bank risk. The challenge of this study is to create the model of the risk that potentially occur and to mitigate the risk of bank insolvency while the historical data is irrelevant and the uncertainty over when the pandemic will stop and when the economy would return to normal. The simulation result is recommended that bank would implement the restructuring policy to control the credit risk by strengthening the loan monitoring activity in order to manage and decrease the loan impairment expenses. To increase CAR, the simulation showed that the combined policy consists of the NPLs monitoring program and the interest rate and operating cost management program is able to produce a significant increase in bank’s capital (CAR).
| Item Type: | Thesis (S3) |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Depositing User: | Mr. Taufiq Hidayat |
| Date Deposited: | 13 Jul 2023 06:11 |
| Last Modified: | 13 Jul 2023 06:11 |
| URI: | http://repository.ibs.ac.id/id/eprint/6470 |
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