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Credit Quality Stress Tests Based on Macroeconomics at Bank Persero in Indonesia in 2008-2016

Nandasari, Elna Arlina (2020) Credit Quality Stress Tests Based on Macroeconomics at Bank Persero in Indonesia in 2008-2016. Masters thesis, STIE Perbanas Surabaya.

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Analysis of the strength of the banking industry system and the factors that influence the stability of the banking industry is very necessary given the importance of the banking industry in a country. One way to evaluate the relationship between banking systems stability and macroeconomic conditions in dealing with crisis conditions through stress tests. This study aims to determine the effect of macroeconomics proxied by GDP growth, inflation rates and interest rates on credit quality proxied by NPL values, and determine the extent to which banks survive when facing shocks in macroeconomic crisis conditions through a stress test scenario. The object of research used was the banking sector companies that included the Persero's banks listed on the Indonesia Stock Exchange in the 2008-2016 period. Data were analyzed using multiple regression analysis, classic assumptions, ARCH models, and stress test scenarios. Based on the results of research GDP growth variables and interest rates significantly influence Non Performing Loans, while the inflation rate does not significantly influence Non Performing Loans. Based on the results of stress test scenarios, where GDP shocks and interest rates occur it can be indicated that the level of resilience of the Persero's banks will begin to falter when the GDP is 10% and the interest rate is 11.5% and threatened to collapse if the GDP reaches 12% and the interest rate is 13,5% because the value of NPL exceeds 5%.

Item Type: Thesis (Masters)
Divisions: Magister of Management
Depositing User: Perpustakaan Universitas Hayam Wuruk Perbanas Surabaya
Date Deposited: 04 Feb 2021 04:29
Last Modified: 04 Feb 2021 06:52

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