62
DAFTAR PUSTAKA
Al-Qur’an al-Karim. Terjemahan Departemen Agama Republik Indonesia.Jakarta. Ali, Drs. Masyhud, M.B.A., M.M. 2006. Manajemen Risiko, PT Raja Grafindo Persada, Jakarta. Antonio, M. Syafe’i. 2001. Bank Syariah dari Teori ke Praktik, Gema Insani Press, Jakarta. Bessiss, Joel. 2002. Risk Management in Banking, 2nd Edition, John Wiley & Sons, England. Crouhy, David, etc. 2001. Risk Management, 2nd Edition, Mc Grawhill. Credit Suisse First Boston.1997. CreditRisk+ : A Credit Risk Management Framework. Dewi, Vina Kharisma. 2005. Analisis Perhitungan Risiko Pembiayaan dengan Menggunakan Pendekatan Internal dan Standar : Studi Kasus pada Bank Syariah X, Universitas Indonesia, Jakarta. Djazuli, H.A. dan Yadi Janwari. 2002. Lembaga-Lembaga Perekonomian Umat (Sebuah Pengenalan), Rajawali Press, Jakarta. Fitri, Yudha Septia. 2004. Analisis Perhitungan Risiko Kredit dengan Pendekatan CreditRisk+ Portofolio (Studi Kasus Pembiayaan Murabahah Bai’ Bithaman Ajil pada BMT at-Taqwa), Universitas Indonesia, Jakarta. Greuning, Henni Ven dan Sonja Brajovic Bratanovic. 2000. Analizing Banking Risk, World Bank, Jakarta. Hakim, Zainul. 2009. Evaluasi Tingginya Risiko Pembiayaan Murabahah Dibandingkan Dengan Risiko Pembiayaan Bagi Hasil (Analisis Risiko Dengan Metode Internal), Universitas Indonesia, Jakarta. Jorion, Philippe. 2001. Value at Risk : The New Benchmark for Managing Financial Risk, 2nd Edition, Mc Grawhill. Khan, Thariqullah dan Habib Ahmad. 2001. Risk Management an Analysis of Issues in Islamic Financial Industry, Jeddah, Saudi Arabia.
63
Khan, Thariqullah. 2003. Credit Risk Management a Framework for Islamic Banking. Makalah dalam International Conference on Islamic Banking, Jakarta. Muhammad. 2005. Bank Syari’ah Problem dan Prospek Perkembangan di Indonesia, Graha Ilmu, Yogyakarta. Peraturan Bank Indonesia Nomor: 5/8/PBI/2003 tanggal 19 Mei 2003 tentang Penerapan Manajemen Risiko Bagi Bank Umum. Resti, Andrea dan Andrea Sironi. 2007. Risk Management and Shareholders’ Value in Banking, John Wiley & Sons, Ltd, England. Saladin, Djaslim dan Abdul Salam DZ. 2000. Konsep Dasar Ekonomi dan Lembaga Keuangan Islam, Linda Karya, Bandung. Siregar, Mulya. 2000. Kebijakan Pengembangan Perbankan Syariah di Indonesia. Statistik Bank Syari’ah Bulan Maret 2010, Bank Indonesia, Jakarta. Suharyadi dan Purwanto S.K. 2003. Statistika : Untuk Ekonomi Keuangan Modern, Salemba Empat, Jakarta. Surat Edaran Bank Indonesia No. 5/21/DPNP tanggal 29 September 2003 tentang Penerapan Manajemen Risiko pada Bank Umum. Undang-Undang No. 7 Tahun 1992 tentang Perbankan sebagaimana telah diubah dengan Undang-Undang No. 10 Tahun 1998. Undang-undang Nomor 21 Tahun 2008 tentang Perbankan Syariah.
UNIVERSITAS
MERCUBUANA
LAMPIRAN 1 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MUDHARABAH BAND 1
Lancar Lj
a
Jml Nas
b
LGDA
Kurang Lancar
DPK
Diragukan
Jml Jml Jml LGDA LGDA Nas Nas Nas
c d 1 2 1.394.543 2 2 4.000.000 3 1 3.042.099 4 1 4.055.997 5 2 9.530.308 6 4 22.832.242 7 1 6.533.334 8 1 7.366.981 9 2 16.950.000 10 3 28.098.222 Total 23 103.803.726 Sumber : Data yang telah diolah
e
f
g
i
LGDA
j
1
8.000.002
3
8.000.002
Macet
Total
Jml Jml LGDA Nas Nas
k
l
-
m 2 2 1 1 2 4 1 2 2 3 28
LGDA
Jml Debitur Default
n 1.394.543 4.000.000 3.042.099 4.055.997 9.530.308 22.832.242 6.533.334 15.366.983 16.950.000 28.098.222 111.803.728
o=f+i+k 1 3
Expected Loss
p
ELj
Nj
q=p/1 jt r=q/a 4.000.001,00 4,00 0,50 4.000.001,00 4,00
Distribusi Poisson
RR
s
t
1 1 1 1 1 1 1 0,909795952 1 1
-
VaR (>95%)
u=(1jt x a x o x (1-t)) - p -
LAMPIRAN 2 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MUDHARABAH BAND 2
Lancar Lj
a
Jml Nas
LGDA
b c 1 14 205.788.867 2 17 394.345.526 3 15 487.937.688 4 11 450.206.911 5 7 357.444.650 6 12 697.295.393 7 5 337.738.231 8 5 394.536.740 9 7 595.123.231 10 6 580.037.426 Total 99 4.500.454.663 Sumber : Data yang telah diolah
DPK
Kurang
Diragukan
Jml Jml Jml LGDA LGDA Nas Nas Nas d
e
f
g
i
LGDA
j
1 1 1
27.767.776 28.511.878 41.254.851
1
61.454.338
4
158.988.843
Macet
Total
Jml Jml LGDA Nas Nas k
l
m 14 18 16 12 7 13 5 5 7 6 103
LGDA
n 205.788.867 422.113.302 516.449.566 491.461.762 357.444.650 758.749.731 337.738.231 394.536.740 595.123.231 580.037.426 4.659.443.506
Jml Debitur Default o=f+i+k 1 1 1 1 4
Expected Loss
p 13.883.888,00 14.255.939,00 20.627.425,34 30.727.169,00
79.494.421,34
ELj
Nj
q=p/10 jt r=q/a 1,39 0,69 1,43 0,48 2,06 0,52 3,07 0,51 7,95
Distribusi Poisson
RR
s
t
1 0,846210568 0,917221973 0,905002355 1 0,906098567 1 1 1 1
VaR (>95%) u=(10jt x a x o x (1-t)) - p -
LAMPIRAN 3 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MUDHARABAH BAND 3
Lancar Lj
a
Jml Nas
LGDA
b c 1 55 7.560.782.919 2 32 7.544.248.239 3 16 5.163.149.444 4 18 7.237.237.378 5 13 6.439.176.701 6 7 4.078.270.426 7 3 2.080.027.300 8 9 6.929.998.877 9 8 6.960.357.448 10 11 10.447.153.332 Total 172 64.440.402.063 Sumber : Data yang telah diolah
DPK Jml Nas d 1 1
LGDA
e 149.112.210 209.325.316
1
802.777.778
3
1.161.215.304
Kurang Lancar Jml Nas
LGDA
f
g
2
650.000.000
2
650.000.000
Diragukan
Macet
Jml Jml LGDA Nas Nas i
j
k 1
1
LGDA
l 108.042.800
108.042.800
Total Jml Nas
LGDA
m 57 33 18 18 13 7 3 10 8 11 178
n 7.817.937.929 7.753.573.555 5.813.149.444 7.237.237.378 6.439.176.701 4.078.270.426 2.080.027.300 7.732.776.655 6.960.357.448 10.447.153.332 66.359.660.167
Jml Debitur Default o=f+i+k 1 2 3
Expected Loss
p 108.042.800,00 97.500.000,00
205.542.800,00
ELj
Nj
Distribusi Poisson
RR
q=p/100 jt r=q/a s t 1,08 1,08 0,70620172 1 0,98 0,33 0,99550722 1 1 1 1 1 1 1 2,06
VaR (>95%) u=(100jt x a x o x (1-t)) - p 502.500.000,00 502.500.000,00
LAMPIRAN 4 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MUDHARABAH BAND 4
Lancar Lj
a
Jml Nas b 13 6 6 2 4
LGDA
c 16.908.705.590 13.254.337.955 17.063.578.139 8.429.143.074 19.531.072.457
1 2 3 4 5 6 7 1 6.538.796.094 8 9 10 3 27.001.223.081 Total 35 108.726.856.390 Sumber : Data yang telah diolah
Kurang Lancar
DPK Jml Nas d
Diragukan
Macet
Jml LGD Jml Jml LGDA LGDA LGDA Nas A Nas Nas e
f
g
i
j
k
l
Total Jml Nas
LGDA
Jml Debitur Default
Expected Loss
o=f+i+k
p
ELj
Nj
q=p/1 M -
r=q/a -
m 13 6 6 2 4
n 16.908.705.590 13.254.337.955 17.063.578.139 8.429.143.074 19.531.072.457
1
6.538.796.094
-
-
3 35
27.001.223.081 108.726.856.390
-
-
Distribusi RR Poisson
s
t 1 1 1 1 1 1 1 1 1 1
VaR (>95%)
u=(1 M x a x o x (1-t)) - p -
LAMPIRAN 5 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MUDHARABAH BAND 5
Lancar Lj
a
Jml Nas b
LGDA
c 10.680.875.688
1 1 2 3 4 5 6 7 8 9 10 1 29.697.000.000 Total 2 40.377.875.688 Sumber : Data yang telah diolah
Kurang Lancar
DPK Jml Nas d
Diragukan
Macet
Jml Jml Jml LGDA LGDA LGDA LGDA Nas Nas Nas e
f
g
i
j
k
l
Total Jml Nas m
LGDA
1
n 10.680.875.688
1 2
29.697.000.000 40.377.875.688
Jml Debitur Expected Default Loss
o=f+i+k
p
ELj
Nj
q=p/10 M r=q/a -
-
-
Distribusi Poisson
RR
s
t 1 1 1 1 1 1 1 1 1 1
VaR (>95%)
u=(10 M x a x o x (1t)) - p -
LAMPIRAN 6 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MURABAHAH BAND 1
Lancar Lj Jml Nas
a
LGDA
b c 1 326 211.399.071 2 397 619.718.055 3 504 1.286.063.594 4 485 1.716.908.313 5 459 2.086.089.561 6 430 2.371.836.685 7 360 2.355.421.852 8 309 2.327.832.109 9 340 2.890.861.557 10 326 3.103.616.502 Total 4.356 18.969.747.300 Sumber : Data yang telah diolah
DPK Jml Nas
LGDA
d 43 29 27 51 41 32 40 22 32 19 358
e 29.362.320 48.482.099 69.030.022 178.545.120 188.822.200 174.413.662 262.764.979 167.516.354 271.107.793 179.923.204 1.569.967.753
Kurang Lancar Jml Nas f 6 4 7 10 3 9 3 8 5 3 80
Diragukan
LGDA
Jml Nas
g 3.853.150 5.814.310 18.386.625 35.391.595 13.483.300 50.023.524 18.794.105 60.388.587 42.830.996 28.852.250 277.818.442
i 3 8 2 7 9 9 6 8 5 2 80
Macet
Total
LGDA
Jml Nas
LGDA
Jml Nas
LGDA
Jml Debitur Default
j 1.326.327 12.374.050 4.970.247 24.559.550 41.206.770 49.143.655 38.617.520 59.421.550 41.949.214 19.524.750 293.093.633
k 17 15 13 5 13 6 2 3 9 7 247
l 7.741.048 23.105.107 32.674.900 16.673.250 59.160.800 34.384.348 12.958.850 22.476.850 76.578.788 67.171.100 352.925.041
m 395 453 553 558 525 486 411 350 391 357 5.121
n 253.681.916,04 709.493.620,75 1.411.125.388,28 1.972.077.828,32 2.388.762.630,59 2.679.801.874,43 2.688.557.306,09 2.637.635.450,01 3.323.328.348,66 3.399.087.805,80 21.463.552.168,97
o=f+i+k 26 27 22 22 25 24 11 19 19 12 407
Expected Loss
ELj
Nj
p 8.982.184,00 30.164.278,50 37.918.017,25 34.261.764,25 81.786.680,00 66.459.704,10 35.086.725,75 61.245.913,05 103.978.044,40 81.261.312,50 541.144.623,80
q=p/1 jt 8,98 30,16 37,92 34,26 81,79 66,46 35,09 61,25 103,98 81,26 541,14
r=q/a 8,98 15,08 12,64 8,57 16,36 11,08 5,01 7,66 11,55 8,13
Distribusi Poisson
RR
s t 0,99999907 0,998148728 0,994433449 0,999967811 0,98324932 0,999780029 0,994444031 0,999855481 0,985041703 0,929940146
VaR (>95%)
u=(1jt x a x o x (1t)) - p 17.017.816,00 23.835.721,50 28.081.982,75 53.738.235,75 43.213.320,00 77.540.295,90 41.913.274,25 90.754.086,95 67.021.955,60 443.116.688,70
LAMPIRAN 7 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MURABAHAH BAND 2
Lancar Lj
a
Jml Nas
LGDA
b c 1 2.505 35.470.601.528 2 1.716 39.711.551.328 3 1.136 36.690.654.670 4 915 38.099.660.772 5 698 35.005.143.469 6 428 25.353.484.858 7 400 27.272.230.174 8 351 27.069.841.472 9 309 26.751.060.977 10 313 30.000.326.506 Total 8.771 321.424.555.754 Sumber : Data yang telah diolah
DPK
Kurang Lancar
Diragukan
Macet
Total
Jml Nas
LGDA
Jml Nas
LGDA
Jml Nas
LGDA
Jml Nas
LGDA
Jml Nas
d 194 153 98 99 59 58 40 32 26 29 788
e 2.787.968.564 3.563.622.840 3.183.901.767 4.112.659.513 2.973.949.318 3.406.071.791 2.749.041.383 2.462.235.215 2.229.777.530 2.758.611.997 30.227.839.919
f 18 21 19 13 14 6 8 5 12 1 117
g 258.444.239 495.393.443 620.013.558 534.698.950 701.446.155 358.090.988 541.231.898 390.735.043 1.046.956.096 91.140.178 5.038.150.548
i 27 23 12 10 6 4 3 1 6 3 95
j 379.094.842 523.574.177 392.691.012 414.530.987 313.325.517 231.729.900 195.136.727 78.786.100 515.643.481 282.764.803 3.327.277.546
k 52 25 13 6 9 10 8 2 4 7 136
l 747.928.717 588.262.743 424.658.679 247.507.948 435.399.432 603.651.483 537.222.800 154.798.758 339.692.242 665.559.029 4.744.681.831
m 2.796 1.938 1.278 1.043 786 506 459 391 357 353 9.907
LGDA n 39.644.037.889,99 44.882.404.531,91 41.311.919.685,87 43.409.058.169,95 39.429.263.891,35 29.953.029.019,55 31.294.862.982,08 30.156.396.588,23 30.883.130.325,93 33.798.402.512,72 364.762.505.597,58
Jml Debitur Default o=f+i+k 97 69 44 29 29 20 19 8 22 11 348
Expected Loss
ELj
p q=p/10 jt 976.242.773,85 97,62 924.358.847,95 92,44 714.006.218,70 71,40 534.978.284,00 53,50 697.279.113,75 69,73 773.230.081,20 77,32 715.975.948,20 71,60 252.802.064,45 25,28 754.557.396,90 75,46 820.612.457,20 82,06 7.164.043.186,20 716,40
Nj
r=q/a 97,62 46,22 23,80 13,37 13,95 12,89 10,23 3,16 8,38 8,21
Distribusi Poisson
RR
s t 0,501720069 0,999330581 0,999930962 0,999937706 0,999872798 0,976920658 0,995601703 0,994717055 0,999976674 0,872624549
VaR (>95%) u=(10jt x a x o x (1t)) - p 455.641.152,05 605.993.781,30 625.021.716,00 752.720.886,25 426.769.918,80 614.024.051,80 387.197.935,55 1.225.442.603,10 5.092.812.044,85
LAMPIRAN 8 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MURABAHAH BAND 3
Lancar Lj
a
Jml Nas
LGDA
b c 1 1.227 168.661.986.980 2 544 123.024.713.787 3 266 84.418.690.091 4 160 65.976.867.172 5 117 57.793.312.360 6 52 30.693.691.604 7 47 31.848.746.953 8 37 28.804.240.091 9 28 24.095.250.299 10 41 38.846.984.833 Total 2.519 654.164.484.167 Sumber : Data yang telah diolah
DPK Jml Nas
LGDA
d 126 43 17 7 10 7 1
e 16.786.191.904 9.904.295.263 5.387.267.096 3.027.223.016 4.769.783.534 4.168.708.086 665.723.446
3 2 216
2.515.899.831 1.882.315.914 49.107.408.090
Kurang Lancar Jml Nas
LGDA
f 20 8 3 3 1 3
g 2.880.199.434 1.783.503.553 967.154.558 1.172.025.884 489.214.185 1.786.770.318
3 3
2.245.365.599 2.588.759.433
44
13.912.992.964
Diragukan Jml Nas
LGDA
i 7 2 2
j 1.010.988.962 480.348.792 642.564.591
1 12
951.782.493 3.085.684.838
Macet Jml Nas
Total
LGDA
Jml Nas
LGDA
k 21 4 4 2
l 2.784.499.474 901.787.140 1.325.549.038 859.328.038
1
675.867.500
32
6.547.031.190
m 1.401 601 292 172 128 62 49 40 34 44 2.823
n 192.123.866.753,70 136.094.648.534,73 92.741.225.373,89 71.035.444.109,55 63.052.310.078,94 36.649.170.007,55 33.190.337.898,53 31.049.605.689,73 29.199.909.562,62 41.681.083.239,81 726.817.601.249,05
Jml Debitur Default o=f+i+k 48 14 9 5 1 3 1 3 3 1 88
Expected Loss
ELj
p q=p/100 jt 3.722.023.870,10 37,22 1.409.487.068,95 14,09 1.791.904.517,20 17,92 1.035.131.920,60 10,35 73.382.127,75 0,73 268.015.547,70 2,68 675.867.500,00 6,76 336.804.839,85 3,37 388.313.914,95 3,88 475.891.246,50 4,76 10.176.822.553,60 101,77
Nj
r=q/a 37,22 7,05 5,97 2,59 0,15 0,45 0,97 0,42 0,43 0,48
Distribusi Poisson
RR
s t 0,963416663 0,99393821 0,917921054 0,951852812 0,990228089 0,998836378 0,74843897 0,99906304 0,998974936 0,917017059
VaR (>95%) u=(100jt x a x o x (1t)) - p 1.077.976.129,90 1.390.512.931,05 964.868.079,40 426.617.872,25 1.531.984.452,30 2.063.195.160,15 2.311.686.085,05 9.766.840.710,10
LAMPIRAN 9 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MURABAHAH BAND 4
Lancar Lj Jml Nas a
b 36 10 13 9 7 3 5
LGDA c 49.533.873.367 23.896.444.297 42.326.997.910 36.896.202.038 33.383.624.298 18.165.215.430 33.752.793.119
1 2 3 4 5 6 7 8 9 4 33.444.348.564 10 1 9.791.563.533 Total 88 281.191.062.556 Sumber : Data yang telah diolah
DPK Jml Nas d 1
LGDA e 1.099.057.564
1
4.724.042.457
1
7.454.537.420
3
13.277.637.441
Kurang Lancar Jml Nas
LGDA
f
g 1
2.428.851.931
1
2.428.851.931
Diragukan
Macet
Total
Jml Jml LGDA LGDA Nas Nas i
j
k
l
Jml Nas m 37 11 13 9 8 3 5 1 4 1 92
LGDA n 50.632.930.930,64 26.325.296.228,00 42.326.997.910,17 36.896.202.037,78 38.107.666.754,83 18.165.215.430,00 33.752.793.118,90 7.454.537.420,00 33.444.348.564,23 9.791.563.533,00 296.897.551.927,55
Jml Debitur Default o=f+i+k 1 1
Expected Loss
p
ELj
Nj
q=p/1 M r=q/a 364.327.789,65 0,36 0,18 364.327.789,65 0,36
Distribusi RR Poisson
s 1 0,985292 1 1 1 1 1 1 1 1
t
VaR (>95%) u=(1 M x a x o x (1t)) - p 1.635.672.210,35 1.635.672.210,35
LAMPIRAN 10 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MURABAHAH BAND 5
Lancar Lj
a
Jml Nas b
LGDA c 54.165.087.412 19.024.411.478 22.516.415.511 26.015.754.982 85.047.907.400
1 4 2 1 3 1 4 1 5 3 6 7 8 1 39.096.080.023 9 1 43.573.299.273 10 1 46.127.696.987 Total 13 335.566.653.066 Sumber : Data yang telah diolah
DPK Jml Nas
LGDA
d
e
1 1
49.416.021.367 49.416.021.367
Kurang Diragukan Macet Lancar Jml Jml Jml LGDA LGDA LGDA Jml Nas Nas Nas Nas f
g
i
j
k
l
m
Total LGDA
Jml Expected Debitur Loss Default
4 1 1 1 3
n 54.165.087.412,00 19.024.411.478,00 22.516.415.511,00 26.015.754.982,00 85.047.907.400,00
o=f+i+k -
1 1 2 14
39.096.080.022,67 43.573.299.273,00 95.543.718.354,00 384.982.674.432,67
-
p
ELj
Nj
q=p/10 M r=q/a -
Distribusi Poisson
RR
s
t 1 1 1 1 1
1 1 1
VaR (>95%) u=(10 M x a x o x (1-t)) - p -
