METODE PENGUKURAN PROBABILITAS KEBANGKRUTAN BANK DAN ANALISIS HUBUNGANNYA DENGAN DIVERSIFIKASI SUMBER PENDAPATAN: KASUS PERBANKAN INDONESIA
Abstract
Abstrak
Metode pengukuran probabilita kebangkrutan bank adalah masalah riset klasik. Metode pengukuran menggunakan analisis diskriminan dan model logit seperti Altman’s Z score dan Model Ohlson tidak memiliki dasar teoretik keuangan yang memadai karena variable-variabel yang ada di dalam model dipilih secara arbitrer dan sangat tergantung pada data yang digunakan utuk mengestimasinya. Model Merton adalah model pengukuran probabilita default yang diakui secara luas sebagai model yang memiliki dasar teroretik yang kuat namun memiliki masalah tersendiri pada implementasinya karena variabel yang digunakannya bersifat unobservable. Probabilita default sendiri dipengaruhi oleh tingkat diversifikasi pendapatan bank. Beberapa riset menghasilkan kesimpulan yang bertentangan. Pada perbankan Indonesia hubungan antara kedua variable tersebut bersifat kuadaratik (U shape) dimana diversifikasi yang natural awalnya dapat menurunkan probabilita default bank, namun sampai suatu titik diversifikasi yang terlampau tinggi justru mendorong probabilita default menjadi naik.
Kata Kunci: Bank, Risiko, Probabilitas Kebangkrutan, Diversifikasi,
Abstract
Bank’s probability of default measurement method is one of the classic research problem. The measurement methods using discriminant analysis and logit models such as Altman's Z score and Ohlson Model do not have adequate financial theoretical foundation because variables in the models are chosen arbitrarily and depend heavily on the data used in estimation. Merton’s model of default probability is a measurement model that is widely recognized as a model that has a strong theoretical basis but has its own problems in its implementation because it uses unobservable variables. Default probability itself is influenced by the level of income diversification. Some research resulted in conflicting conclusions. We show that in Indonesian banking industry, relationship between these two variables are quadratic (U shape) which show natural diversification can reduce the bank’s probability of default, until reach a infelction point that too high diversification would encourage the probability of default to be increased
Key word: Bank, Risk, Probability of Default, Diversification
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