Rizky, Uvy Dian (2022) Stress Test Kualitas Pembiayaan Dengan Simulasi Montecarlo Pada Bank Pembiayaan Rakyat Syariah Di Indonesia Tahun 2010 – 2020. Masters thesis, Universitas Hayam Wuruk Perbanas Surabaya.
|
Text
1. COVER.pdf Download (2MB) | Preview |
|
|
Text
2. BAB I.pdf Download (1MB) | Preview |
|
|
Text
3. BAB II.pdf Download (3MB) | Preview |
|
![[img]](http://eprints.perbanas.ac.id/style/images/fileicons/text.png) |
Text
4. BAB III.pdf Restricted to Registered users only Download (1MB) |
|
|
Text
5. BAB IV.pdf Restricted to Registered users only Download (2MB) |
|
|
Text
6. BAB V.pdf Download (901kB) | Preview |
|
|
Text
7. LAMPIRAN.pdf Restricted to Registered users only Download (3MB) |
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.
| Item Type: | Thesis (Masters) |
|---|---|
| Subjects: | 600 - TECHNOLOGY > 650 - 659 MANAGEMENT & PUBLIC RELATIONS > 657 - ACCOUNTING > 657.042 - FINANCIAL ACCOUNTING |
| Divisions: | Magister of Management |
| Depositing User: | Perpustakaan Universitas Hayam Wuruk Perbanas |
| Date Deposited: | 24 Jan 2024 02:54 |
| Last Modified: | 24 Jan 2024 02:54 |
| URI: | http://eprints.perbanas.ac.id/id/eprint/11930 |
Actions (login required)
 |
View Item |