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Macroeconomic Stress test of Credit Risk in Indonesian Banking using Monte Carlo Simulation (An Empirical Study on Commercial Banking in Indonesia during 2010-2020)

Syarifah, Nanda Diyah and Mongid, Abdul (2022) Macroeconomic Stress test of Credit Risk in Indonesian Banking using Monte Carlo Simulation (An Empirical Study on Commercial Banking in Indonesia during 2010-2020). In: The 4th International Conference on Business and Banking Innovations (ICOBBI) 2022.

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Abstract

The paper presents the model macroeconomic stress test credit risk for the banking system of Indonesia during 2010 to 2020. The aim of this research is to evaluate the vulnerability of the banking system through the credit risk to the country's economic shocks. The variables used are GDP, exchange rate, inflation, policy rate and total credit. Economic growth and interest rate have negative non-significant correlation to credit risk. Total credit has significant negative correlation to credit risk. Inflation has positive non-significant and exchange rate has positive significant correlation to credit risk. Stress test result showing that the forecast of NPL change is maximal at –o,83. This shows that commercial bank in Indonesia have a tendency declining the NPL value in upcoming period. According to the obtained results generally, it is still necessary for Indonesia commercial banks to increase their capital in order to cover their unexpected losses. Keywords: Macro Stress Test, Credit Risk, Monte Carlo Simulation

Item Type: Conference or Workshop Item (Paper)
Subjects: 600 - TECHNOLOGY > 658 - GENERAL MANAGEMENT > 658.88 - CREDIT MANAGEMENT
Divisions: ICOBBI (International Conference of Business and Banking Innovations)
Depositing User: Perpustakaan Universitas Hayam Wuruk Perbanas Surabaya
Date Deposited: 22 Jun 2022 03:35
Last Modified: 28 Jun 2022 02:23
URI: http://eprints.perbanas.ac.id/id/eprint/9263

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