Pemodelan country exposure limit pada bank xyz

Imanda, Selly (2019) Pemodelan country exposure limit pada bank xyz. Masters thesis, Institut Pertanian Bogor.

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Abstract

As one of the financial institution that has the largest international banking transaction in Indonesia, XYZ Bank faces country exposure risk. Bank mitigates the risk by limiting the number of international transactions by setting up Country Exposure Limit (CEL). CEL is the limit of assets that can be invested or lent to both private sector or government in a country in which the risk of payment of the institution is carried by the Bank. The determination of CEL at Bank XYZ uses 4 (four) macroeconomic variables, Gross Domestic Product (GDP), import, Country Risk Rating, and bank asset. The researcher found that there was no research related Country Exposure Limits in financial institutions. This study aims to be a reference for financial institutions in determining CEL. The study used the Ordinary Least Square with a purposive sampling method by using CEL Bank XYZ data samples of 47 countries. Researchers tried to compare two models to get the best model for determining Country Exposure Limit by comparing R2 and Root Mean Square Error (RMSE) values. The results of several analyzed criteria show that the best model is the GCF model where the value of R2 is 76.55% with the RMSE value of 0.79 compared to the smaller R2 value of GDP of 74.98% with a greater RMSE value of 82.49%. GDP percapita, Gross Capital Formation statistically significant in relation to Country Exposure Limit while other variables such as Total Reserved Amount on Import, Current Account Balance as a percentage of GDP, Political Stability, and Unemployement found to be insignificant to Country Exposure Limit. The results of the study show that Gross Capital Formation statistically significant in relation to Country Exposure Limit. These results indicate that the GCF model is the best model compared to the GDP model in terms of CEL at XYZ Bank.

Item Type: Thesis (Masters)
Uncontrolled Keywords: batasan eksposur negara, perbankan internasional, risiko negara country exposure limit, international banking, country risk
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 07 Feb 2020 02:52
Last Modified: 07 Feb 2020 02:52
URI: http://repository.sb.ipb.ac.id/id/eprint/3545

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