Stress Test of Financing Quality at Islamic Rural Bank in Indonesia Using Montecarlo Simulation

Rizky, Uvy Dian and Mongid, Abdul (2022) Stress Test of Financing Quality at Islamic Rural Bank in Indonesia Using Montecarlo Simulation. In: The 4th International Conference on Business and Banking Innovations (ICOBBI) 2022.

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Abstract

This study aims to examine the effect of financing growth, GDP growth, inflation, interest rate and exchange rate on financing quality (Non performing Financing) with the stress test of financing quality at Islamic rural Bank in Indonesia using montecarlo simulation. The data used are quantitative time series for the monthly period per January 2010 - March 2020, taken from the web of Bank Indonesia (BI) and the Otoritas Jasa Keuangan (OJK). The tests used are Error Correction Model (ECM) regression and Stress Test. The regression results show that GDP growth, inflation and exchange rate have significant effect on the Non performing Financing (NPF) in the long term, while interest rate has significant effect on the NPF in the short term. The financing growth has no significant effect on the NPF in both the long and short term. Stress test results show that Islamic rural Bank has a high probability of default with forcasting NPF max.is 10.91%, difference NPF max. is 0,33 % and certainty level is 95%. The bank must pay attention to the factors that affect NPF especially exchage rate which has strong effect and try to anticipate the high probability of default with sufficent capital to cover losses. Keywords: Sress Test, Montecarlo Simulation, Non Performing Financng, Error Correction Model

Item Type: Conference or Workshop Item (Paper)
Subjects: 600 - TECHNOLOGY > 650 - 659 MANAGEMENT & PUBLIC RELATIONS > 658 - GENERAL MANAGEMENT > 658.151 - FINANCIAL CONTROL
Divisions: ICOBBI (International Conference of Business and Banking Innovations)
Depositing User: Perpustakaan Universitas Hayam Wuruk Perbanas Surabaya
Date Deposited: 22 Jun 2022 03:34
Last Modified: 28 Jun 2022 02:21
URI: http://eprints.perbanas.ac.id/id/eprint/9262

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