PENERAPAN METODE CREDITRISK+ DALAM PENGUKURAN RISIKO KREDIT KENDARAAN BERMOTOR (KASUS PADA PT X)
Abstract: Identify and measure
credit risk by using a method in accordance with the characteristics of finance
companies is one of a prudent first step in minimizing potential losses.
Potential losses can be seen from the Non Performing Loan (NPL) and recovery
rate of the company. Credit risk measurement remains important as preventive
and anticipatory measures for a finance company in managing the potential
consumer default in fulfilling their obligations. By using 36 months of credit
risk in motor vehicles (2006-2008) which includes the number of units of motor
vehicles, the amount of exposure, collectability and recovery rate can be
calculated expected Loss, unexpected loss and economic capital. Results showed
that both the expected Loss and unexpected loss from year to year increase.
Also with the economic capital increases annually. However, if the economic
value associated with authorized capital owned by PT "X" each year,
it can be concluded that the capital is still sufficient to cover possible
losses caused by credit default unexpected losses. Testing the model using back
testing and Likelihood Ratio, indicates that during the observation period the
number of adverse events "X" with the level of losses that exceed the
value of the vehicle financing credit VaR is still below the threshold amount
of loss that can be tolerated. In other words the risk measurement method using
a motor vehicle financing CreditRisk+ is acceptable and accurate enough to
measure the risk of motor vehicle financing PT "X".
Penulis: Any Meilani
Kode Jurnal: jpmanajemendd100262
