IMPLEMENTATION ANALYSIS ON RISK MANAGEMENT AT BANK TABUNGAN PENSIUNAN NASIONAL BANDUNG FINAL PROJECT
By Aditya Prabowo 19004107
Undergraduate Program School of Business and Management Institut Teknologi Bandung 2007
VALIDATION PAGE
IMPLEMENTATION ANALYSIS ON RISK MANAGEMENT AT BANK TABUNGAN PENSIUNAN NASIONAL BANDUNG
By: ADITYA PRABOWO ID No: 19004107
Undergraduate Program School of Business and Management Institut Teknologi Bandung
Validated By
(Ir. Sudarso Kaderi Wiryono)
IMPLEMENTATION ANALYSIS ON RISK MANAGEMENT AT BANK TABUNGAN PENSIUNAN NASIONAL ADITYA PRABOWO 19004107 Tanggal Ujian Akhir: 8 Agustus 2007 Tanggal Wisuda: 27 Oktober 2007 Program Sarjana, Institut Teknologi Bandung, 2007 Pembimbing: Dr. Ir. Sudarso Kaderi Wiryono ABSTRAK
Perkembangan dunia usaha pada lingkup perbankan semakin meluas yang diikuti oleh semakin banyaknya risiko-risiko yang harus di tangani oleh Bank. Seiring dengan kondisi eksternal perbankan yang makin diresahkan oleh risiko yang mengancam, Bank Indonesia melalui peraturan no 5/8/PBI/2003 mewajibkan kepada setiap bank untuk memiliki sistem manajemen risiko di tempatnya. Bank BTPN dalam sasaran jangka pendek 2006-2008 ingin menjadi bank ritel yang memiliki kekuatan secara finanial, modal dan manajemen untuk menunjang penerapan manajemen risiko (Basel II) yang sesuai dengan regulasi Bank Indonesia. Semenjak tahun 2005, BTPN telah melakukan beberapa proses penerapan manajemen risiko dan masih berjalan hingga sekarang. Diantaranya adalah pembentukan Komite Manajemen Risiko, perubahan struktur organisasi, pembentukan Komite Audit serta Komite Pengendalian Risiko. Keberadaan dari manajemen risiko yang telah ada di BTPN ini haruslah dievaluasi dan di analisis mengingat sasaran jangka pendek BTPN, yaitu mengimplementasi Basel II sudah harus terlaksana pada awal tahun 2008. Dalam menganalisis penerapan dari sistem manajemen risiko yang sedang berjalan, penulis menggunakan analisis perbandingan melalui parameter profil risiko triwulan IV tahun 2005 dengan triwulan IV tahun 2006. Parameter profil risiko diklasifikasikan menurut levelnya apakah “Low”, “Moderate”, atau “High”. Dari analisis profil risiko juga dapat diketahui trend dari eksposur risiko yang terdapat di BTPN, apakah cenderung naik, stabil, atau turun. Dalam penerapan manajemen risiko, ada prosedur dan proses yang harus dilakukan sebagai tahapan dalam menerapkan manajemen risiko. Proses tersebut adalah proses identifikasi risiko, proses pengukuran risiko dan proses mitigasi risiko. Hasil dari proses identifikasi risiko di BTPN terdapat tiga risiko utama dengan macam risikonya yang terkait, pertama yaitu risiko kredit antara lain risiko pinjaman, risiko pihak ketiga dan risiko penerbitan. Kedua yaitu risiko pasar antara lain risiko suku bunga dan risiko harga. Ketiga yaitu risiko operasional antara lain kegagalan dan kesalahan sistem, kesalahan akuntansi, kegagalan strategi, penundaan pembayaran dan kesalahan pembayaran. Proses pengukuran risiko dilakukan dengan membandingkan profil risiko triwulan IV/2005 dengan profil risiko triwulan IV/2006. Hasilnya antara lain parameter risiko kredit berada pada level “Low” dengan penurunan NPL menjadi 1,52%, OBD pasif 1,23% dan retur tagihan kredit 1,60%. Parameter risiko pasar antara lain RSL-RSA pada 177,36% dan sensitifitas deposito terhadap bunga sebesar 27,18%.
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Parameter risiko operasional antara lain rendahnya frekuensi pada denda pajak, kesalahan akuntansi, masalah asuransi, masalah kredit asuransi dan kerugian kredit. Proses mitigasi risiko didasarkan pada parameter risiko yang memiliki level risiko “moderate” dari jenis risiko yang terkait. Risiko pasar parameternya yaitu sensitifitas deposito terhadap suku bunga, dengan data sebesar 27,18% dan RSLRSA yaitu 214,90%. Semakin tinggi bunga diberikan untuk debitur semakin tinggi pula bunga diberikan kepada kreditur maka selisihnya akan memberikan keuntungan kepada bank. Tetapi apabila bunga yang diberikan kepada debitur tinggi, sementara kepada kreditur rendah maka akan menyebabkan ketimpangan. Ketimpangan ini akan mengakibatkan tingginya risiko pasar. Untuk mengendalikan sensitifitas deposito terhadap bunga, BTPN harus mengendalikan suku bunga dengan interest rate swap. Posisi RSL-RSA juga dipengaruhi oleh suku bunga dimana penggunaan interest rate swap harus disesuaikan dengan posisi negatif atau positif mismatch. Risiko operasional parameternya yaitu efektifitas asuransi kredit dengan data sebesar 76% serta permasalahan asuransi dengan data sebesar 76%. Parameter ini dapat diminimalisasi dengan pemilihan perusahaan asuransi yang berkualitas serta bukti dari kredit yang telah dicover oleh perusahaan asuransi. Hasil dari analisis penerapan manajemen risiko di BTPN adalah trend dari profil risiko yang relatif stabil selama perbandingan dua tahun terakhir, dan level risiko yang sebagian besar “Low”. Penerapan manajemen risiko di BTPN dapatlah terbilang sudah berjalan dengan baik. Kata Kunci: BTPN, Manajemen Risiko, Identifikasi Risiko, Pengukuran Risiko, Mitigasi Risiko.
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IMPLEMENTATION ANALYSIS ON RISK MANAGEMENT AT BANK TABUNGAN PENSIUNAN NASIONAL ADITYA PRABOWO 19004107 Date of Final Examination: August 8 th, 2007 Date of Graduation: October 27th, 2007 Undergraduate Program, Institut Teknologi Bandung, 2007 Final Project Advisor: Dr. Ir. Sudarso Kaderi Wiryono ABSTRACT The development of business world at banking scope has increasingly extends followed by increasingly many risks which must be handle by Bank. Along with condition of external banking that is fidgety by threaten risk, Indonesia Bank through regulation of no 5/8/PBI/2003 obliging to every bank to have a risk management system in their places. BTPN in their short term target 2006-2008 is planning to be retail bank which have a strength condition in financial, capital and management to support the implementation of risk management (Basel II) which suit to regulation of Indonesia Bank. As of the year 2005, BTPN has executed some processes of risk management implementation and still run until now. For instance, they had formed Risk Management Committee, changing in organization structure, formed Audit Committee and Risk Control Committee. The existence of risk management which has been implemented in BTPN shall be evaluated and analysis due to BTPN short term target, that is, the implementation Basel II which has to be executed in the early year 2008. To do an implementation analysis in risk management system that is being run, writer applies comparative analysis through risk profile parameter quarter IV the year 2005 and quarter IV the year 2006. Risk profile parameter is classified according to its level whether it is “Low", “Moderate", or “High". From risk profile analysis, the trend from risk exposure which existed in BTPN could also be identified, whether the trend is rising, stable, or downwards. In risk management implementation, there is some process that has to be conduct as the stages in risk management implementation. The process are risk identification, risk measurement, and risk mitigation. Result from risk identification process in BTPN shows that there are three main risks with it kind of risks, first is credit risk for example loan risk, third party risk and issue risk. The second is market risk for example interest rate risk and price risk. The third is operational risk for example fails and mistake system, accounting mistake, strategic failure, delay payment and payment mistake. Risk measurement process is done by comparing risk profile quarter IV/2005 with risk profile quarter IV/2006. The results are credit risk parameter at "Low" level with decreasing in NPL becomes 1, 52%, passive OBD of 1,23% and retur invoice credit about 1,60%. Market risk parameter at "Low" level, marked by RSL-RSA at 177,36% and saving deposit sensitivity to interest equal to 27,18%. Operational risk parameter at "Low" level showed by the low of frequency at tax penalty, accounting mistake, insurance problem, and insurance credit problem and credit loss.
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Risk mitigation process is based on risk parameter which had risk level “moderate" from related risk type. The parameter for market risk is deposit sensitivity to interest rate, with data 27,18%. The higher interest given to debtor would also the same given to creditor, hence its difference will give gain to bank. But if the debtor given high interest, while the creditor did not hence will cause imbalance. The imbalance will result to the market risk. To control deposit sensitivity to interest, BTPN must control interest rate beforehand. RSL-RSA positions also influenced by interest rate, where the use of interest rate swap must be adjust to the position of negative or positive mismatch. The parameters for operational risk are credit insurance effectiveness with data 76% and insurance problem with data 76%. To control this parameter BTPN should convince the evidence that a loan is guarantee by insurance company, and BTPN must choose the best quality insurance company for covering the risk. The result from implementation analysis on risk management at BTPN can be concluded from the trend of risk profile that is stable relative than last years, and risk level that mostly “Low". Risk management implementation in BTPN is well managed. Keywords: BTPN, Risk Management, Risk Identification, Risk Measurement, Risk Mitigation
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PREFACE
Bismillahirrahmanirrahim Assalamu’alaikum wr. wb.,
Writer would like to give the highly gratefulness to Allah SWT that give writer such a wonderful bless to finish this final project in order to acquire the Bachelor Degree from School of Business and Management.
During the completion of this final project, writer had much assistance and support from many people, at this special chance writer would give many thanks to:
1. My final project supervisor, Dr. Ir. Sudarso Kaderi Wiryono whom with his patience and his time for giving such an advice and support to complete this final project.
2. Mrs. Yunarni as a Head Section of BTPN Risk Management Department whom with his support in providing the data and giving a revision for completion of this final project.
3. My beloved father and mother for giving the idea to this final project, also for giving such attention to the completion of this final project.
4. Dewi Indriani, with her love, patience and unlimited support to force writer to complete the final project.
5. Friends of 2004 SBM-ITB, especially “Gamang”, Panji, Benny, Bagas, Harry, Bagus, Lendra for a friendship rope that never end. Especially thanks to Rifki, for a shoulder to cry on. Friends of Mr. Darso guidance, Intan, Gagay, Winna, Furry, Rani, Cesar, Adi, Arbow, Iin, Arde, Oki, Bo’i, for struggle until the end. Friends in “Sayap Kiri” for the social spirit and happiness in completing this v
final project. Mr. Radjab and Mrs. Wiwiek for a place to share. And brother in SBM Bikers, brotherhood never die.
Writer considers that this final project is still far away from perfection. Thus, writer expects any critics and suggestions from all readers in order to give the perfection of this final project. Hope that this final project could be useful for all readers.
At the end, writer hope that the kindness of many party mentioned above will always have much retribution of honor from Allah SWT. Wassalamu’alaikum wr, wb.,
Bandung, August 2007
Aditya Prabowo
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LIST OF CONTENT ABSTRAK ...............................................................................................i ABSTRACT ...........................................................................................iii FOREWORD ..........................................................................................v LIST OF CONTENTS ..........................................................................vii LIST OF IMAGES .................................................................................ix LIST OF TABLES ..................................................................................x CHAPTER 1 INTRODUCTION ............................................................1 1.1 Problem Background .............................................................1 1.2 Problem Formulation.............................................................2 1.3 The Importance of Problem Solving .....................................2 1.4 The Circumstances and Assumption .....................................2 1.5 The Objectives of Writing .....................................................3 1.6 Writing Structure ...................................................................3 CHAPTER 2 THEORETICAL FOUNDATION ....................................7 2.1 Definitions of Risk ................................................................7 2.2 Definition of Risk Management ............................................8 2.2.1 Organizational Structure of Risk Management .........10 2.3 Risks in Bank ......................................................................12 2.3.1 Credit Risk.................................................................13 2.3.2 Market Risk ...............................................................14 2.3.3 Operational Risk........................................................15 2.4 Definition of Risk Profile...... ...............................................17 2.5 Banking System....................................................................18 2.5.1 International Regulation to Risk Management............21 2.5.1.1 Basel I Capital Accord ...........................................21 2.5.1.2 Basel II Capital Accord ..........................................22 2.6 Regulation in Indonesia .........................................................24 CHAPTER 3 METHODOLOGY..........................................................27 CHAPTER 4 DATA COLLECTION AND ANALYSIS .....................31 4.1 Short Description of BTPN ..................................................31 4.1.1 Brief History of BTPN ................................................31 4.1.2 Scope of Bank Activities .............................................32 4.1.3 BTPN Organization Structure .....................................33 vii
4.1.4 Vision and Mission of BTPN ......................................34 4.1.4.1 BTPN Vision ..................................................34 4.1.4.2 BTPN Missions ..............................................34 4.2 Short Description of Risk Management in BTPN ..............34 4.3 Intern Compliance and Risk Management Organization Structure ........................................................36 4.4 Intern Regulation Related to BTPN Risk Management ......37 4.5 Risk Management Implementation in BTPN ......................37 4.5.1 Risk Identification Process .........................................37 4.5.2 Risk Measurement Process.........................................38 4.5.3 Risk Profile Analysis ..................................................41 4.5.4 Mitigation Risk Process .............................................42 4.6 Efforts to Basel II Implementation .......................................45 CHAPTER 5 CONCLUSIONS AND RECOMMENDATIONS .........47 5.1 Conclusions ...........................................................................47 5.2 Recommendations .................................................................48 REFERENCES ......................................................................................51
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LIST OF IMAGES
Figure 2.1 Organization of risk management........................................11 Figure 2.2 Types of banking risk ..........................................................12 Figure 2.3 Three main pillars of Basel II ..............................................23 Figure 4.1 BTPN Organization Structure..............................................33 Figure 4.5 Compliance & Risk Management Detailed Structure..........36
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LIST OF TABLES
Table 2.1 – Comparison of measurement methods in Basel II .............24 Table 4.1 – BTPN Product and Services...............................................32 Table 4.2 – Comparison table of risk profile data quarter IV/2006 and data quarter IV/2005 ...................................................39 Table 4.3−Risk Plotting........................................................................40
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