ANALYSIS OF FACTOR PREDICTION ON BANK DEFAULT RATE

• Main Author: PURBAYATI (NIM : 29107050); Pembimbing : Erman Sumirat, SE, Mbuss, Ak, RADIA
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/16884
• Institution: Institut Teknologi Bandung

Banking industry was a financial institution that plays a vital role for the economics of the country. It was not only as an intermediation institution that collects and forwards the funds, but also as a trade balance operator of the country. A deterioration in banking industry tend to bankruptcy would influence negatively to the trade balance and economic aggregate for the <br /> <br /> <br /> country. <br /> <br /> <br /> Factors caused banking insolvency which tends to the bankruptcy was divided into two main factors such as internal and external factors. Internal factor determination was relying on Indonesian Central Bank Arrangement No. 6/20/PBI/2004. It's about assessment criteria of the safe bank. Assessment criteria content of capital, assets, management, earnings and liquidity <br /> <br /> <br /> factor. Nowadays, sensitivity to market risk factor was also measured into the assessment. <br /> <br /> <br /> External factor determination was relying on several macroeconomic indicators. The research focused to the analysis of prediction factor that caused bankruptcy <br /> <br /> <br /> probability. It has taken an observation of 13 listed banks at Indonesian Stock Exchange since 2000 until 2007. It used binary regression logistic analysis and backward stepwise (conditional) method. Variables which were used for the research consisted of CAR, ATTM, APB, NPL, PPAP, ROA, ROE, NIM, BOPO, LDR, Stock Price, Composite Index, Inflation Rate, Interest Rate and Money Supply. Model which developed was divided into two methods such as indirect methods and direct methods. In the indirect methods, Stock Price was filled into logistic regression estimation as a macroeconomic measurement. While in the direct method, bank's sensitivity to the composite index, inflation rate, interest rate and money supply variable were filled into logistic regression estimation as a macroeconomic measurement. That sensitivity was gained from the regression between macroeconomic variables and stock price variable. <br /> <br /> <br /> The empirical result showed that both model, indirect and direct method, were fit to the model. The variable that influenced significantly to the bankruptcy probability for both methods was BOPO variable (significant at 5%). In the direct method, bank's sensitivity to the interest rate variable influenced significantly to the bankruptcy probability at 5%.