Faktor-faktor yang mempengaruhi risiko likuiditas pt bank bukopin tbk

Yuwantra, Gigih Rizki (2019) Faktor-faktor yang mempengaruhi risiko likuiditas pt bank bukopin tbk. Masters thesis, Institut Pertanian Bogor.

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Abstract

As one of the banks in BUKU 3 that categorized into the Domestic Systemically Important Bank (DSIB), they must be more prudent in managing all aspects of the risk. The first thing that will be in the spotlight of the regulator is the liquidity position of the bank itself. Liquidity is vulnerable and can suddenly be drained from a bank so that liquidity difficulties in a bank can spread to other banks (contagion effect) which creates systemic risk. In accordance with Basel III, OJK requires the implementation of Liquidity Coverage Ratio (LCR) to monitor the ability of banks to meet their short-term obligations of less than 30 days. This ratio complements the existing liquidity ratio and is more long-term, namely Loan to Funding Ratio (LFR). Through the VAR estimation test, internal factors in the first model, Short Term Liquidity (SL), Funding Gap (FG) and Liquidity Creation (LC) have a negative effect on LCR. Furthermore, through the VECM estimation test, all of the external factors variables have a significant long-term effect. INF and ROR have a negative effect, while BIRATE and IPI have a positive effect. Finally, the Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) tests show that for internal factors are LFR and SL which has the biggest contribution to changes in LCR and for external factors, sum of INF and BIRATE in the long run has the biggest contribution compared to other variables.

Item Type: Thesis (Masters)
Uncontrolled Keywords: FEVD, IRF, LCR, risiko likuiditas, VECM, risk liquidity, VECM, Impulse Response Function, Vector Error Correction Model, Forecast Error Variance Decomposition, Liquidity Coverage Ratio.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 17 Dec 2019 05:28
Last Modified: 17 Dec 2019 05:28
URI: http://repository.sb.ipb.ac.id/id/eprint/3481

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