THE COMPARISON ANALYSIS WITHIN RISK OF MURABAHAH FINANCING AND MUDHARABAH AT PT BANK SYARIAH X (RISK ANALYSIS BY USING INTERNAL METHOD CREDITRISK+)

THE COMPARISON ANALYSIS WITHIN RISK OF MURABAHAH FINANCING AND MUDHARABAH AT PT BANK SYARIAH X (RISK ANALYSIS BY USING INTERNAL METHOD – CREDITRISK+)

BY :

MOHAMMAD AINUN NAJIB 43208110087

ABSTRACT

Production sharing system is a specific characteristic of Syariah Bank, so why it is called as a production sharing bank at the first time development. This is because of the system which only can actuate real sector in realizing one of economic principal in Islam, that is even distribution. But, as a real condition today, the system is not as good as a financing portion of Murabahah scheme. In some research, it is said that NPF has an influence in the high and the low of syariah bank financing. Indeed, someone said that the low portion of production sharing financing system caused by the high risk of the financing than in Murabahah system. So, in this research the writer will examine the risk of Mudharabah financing is higher than the risk of Murabahah financing. To examine the level of the risk of financing, the writer will use Internal Method - Credit Risk +, which is used to count the Unexpected Loss value in each financing then it will be compared to know which one has the highest Unexpected Loss. From the research and the analysis, it is found that the financing of Mudharabah production sharing has a lower risk than Murabahah.

Key words : Murabahah, Mudharabah, Risk, Credit Risk+

vii

DAFTAR ISI Halaman HALAMAN JUDUL ....……………………………………………………..

i

SURAT PERNYATAAN KARYA SENDIRI .........................................

ii

LEMBAR PENGESAHAN SKRIPSI ……………………………………...

iii

LEMBAR PENGESAHAN DEWAN PENGUJI ..…………………………

iv

KATA PENGANTAR ..................................................................................

v

ABSTRAK ....................................................................................................

vii

DAFTAR ISI ……………………………………..…………………………

viii

DAFTAR TABEL ……………………………………..……………………

xiii

DAFTAR GAMBAR ……………………………………..………………...

xiv

DAFTAR LAMPIRAN …………………………………..………………....

xv

PENDAHULUAN …………………………………………...

1

A. Latar Belakang ……………………………………………

1

B. Perumusan Masalah ………………………………………

6

C. Tujuan dan Kegunaan Penelitian …………………………

6

LANDASAN TEORI ………………………………………..

8

A. Bank Syariah ……………………………………………..

8

1. Definisi dan Landasan Hukum Perbankan Syariah …..

8

2. Sejarah Perkembangan Bank Syariah ………………...

11

3. Tujuan Bank Syariah …………………………………

16

BAB I

BAB II

viii

4. Produk Perbankan Syariah ……………………………

17

B. Risiko ……………………………………………………..

17

1. Pengertian Risiko ……………………………………..

17

2. Jenis-jenis Risiko dalam Perbankan ………………….

18

3. Risiko dalam Perbankan Syariah ……………………..

20

4. Risiko dalam Pembiayaan Mudharabah ……………...

22

5. Risiko dalam Pembiayaan Murabahah ……………….

23

6. Risiko Kredit …………………………………………

23

7. Manajemen Risiko Kredit …………………………….

25

a. Proses Manajemen Risiko Kredit ………………...

26

b. Manajemen

27

Risiko

Kredit

dalam

Lembaga

Keuangan Islam ………………………………….. c. Teknik Mitigasi Risiko Kredit ……………………

28

C. Model CreditRisk+ ……………………………………….

31

1. Model CreditRisk+ …………………………………...

31

2. Kelebihan Credit Risk+ ………………………………

32

3. Probabilitas Default …………………………………..

33

4. Frekuensi Terjadinya Default dalam Credit Risk+ …...

34

5. Tingkat Kerugian ……………………………………..

36

6. Distribusi Kerugian Suatu Portofolio Akibat Default ...

36

7. Expected Loss (Potensi Kerugian Debitur) …………...

37

8. Real loss dan Recovery Rate ………………………….

38

D. Unexpected Loss dan Value at Risk (VaR) ……………….

38

ix

BAB III

BAB IV

E. Penelitian Sebelumnya dengan model CreditRisk+ ……...

40

METODOLOGI PENELITIAN ……………………………

44

A. Gambaran Umum PT Bank Syariah X …………………...

44

B. Metode Penelitian ………………………………………...

47

C. Jenis dan Sumber Data ……………………………………

48

D. Metode Pengumpulan Data ……………………………….

48

E. Metode Analisis Data ……………………………………..

49

ANALISIS HASIL DAN PEMBAHASAN ………………...

50

A. Asumsi-asumsi ……………………………………………

50

B. Pengumpulan data dan pengelompokan data pembiayaan..

51

C. Pengelompokan Data Outstanding dalam Band dan Kelas

52

(Lj) ……………………………………………………….. D. Menghitung Default Probability dan Expected Loss (ELj)

54

E. Menentukan Expected number of default (m/nj/λ) ……….

55

F. Menghitung

55

frekuensi

terjadinya

default

dengan

menggunakan distribusi poisson pada level of confidence = 95 % ……………………………………………………. G. Menghitung Unexpected Loss atau nilai VaR masing-

57

masing pembiayaan ………………………………………. H. Membandingkan nilai VaR pembiayaan Mudharabah dan Murabahah ………………………………………………..

x

58

KESIMPULAN DAN SARAN ……………………………...

60

A. Kesimpulan …………………………………………….....

60

B. Saran ……………………………………………………...

60

DAFTAR PUSTAKA ………………………………………………………

62

BAB V

LAMPIRAN

xi

DAFTAR TABEL

Tabel

Halaman

4.1

Pengelompokan Data Outstanding dalam Band …………………

53

4.2

Contoh Perhitungan Probability Loss dan Expected Loss ………

54

4.3

Rekapitulasi Perhitungan Expected Loss ………………………..

55

4.4

Hasil Perhitungan Unexpected Loss …………………………….

58

xii

DAFTAR GAMBAR

Gambar

Halaman

1.1

Porsi Pembiayaan pada Bank Syari’ah di Indonesia …………….

5

2.1

Framework Pengukuran CreditRisk+ ……………………………

32

4.1

Print Screen Entry Data Kedalam Fungsi Distribusi Poisson …..

57

xiii

DAFTAR LAMPIRAN

Lampiran

1

Hasil Perhitungan dengan Menggunakan Metode CreditRisk+ untuk Pembiayaan Mudharabah pada Band 1

2


3


4


5


6

Hasil Perhitungan dengan Menggunakan Metode CreditRisk+ untuk Pembiayaan Murabahah pada Band 1

7


8


9


10


xiv

UNIVERSITAS

MERCUBUANA

THE COMPARISON ANALYSIS WITHIN RISK OF MURABAHAH FINANCING AND MUDHARABAH AT PT BANK SYARIAH X (RISK ANALYSIS BY USING INTERNAL METHOD CREDITRISK+)

Recommend Documents