ANALISIS PENGUKURAN RISIKO PENJAMINAN KREDIT ATAS PORTOFOLIO PENJAMINAN KREDIT USAHA RAKYAT DENGAN METODE CREDITRISK (STUDI KASUS :PERUSAHAAN UMUM JAMINAN KREDIT INDONESIA)

REZA, M. MEDIA (2012) ANALISIS PENGUKURAN RISIKO PENJAMINAN KREDIT ATAS PORTOFOLIO PENJAMINAN KREDIT USAHA RAKYAT DENGAN METODE CREDITRISK (STUDI KASUS :PERUSAHAAN UMUM JAMINAN KREDIT INDONESIA). S1 thesis, Universitas Negeri Jakarta.

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Abstract

ABSTRACT M. Reza media, 2012; Analysis of Risk Measurement for Portfolio Credit Guarantee The Kredit Usaha Rakyat Guarantee With CreditRisk Method (Case Study: Perusahaan Umum Jaminan Kredit Indonesia) Protection provided by the Credit Guarantee Enterprise to lenders through the loan guarantee program has a sufficient level of potential risk of loss. It is therefore necessary to take measurements on that risk. In outline for the research goals are: 1) Determine the level of risk due to claim of credit guarantee from the portfolio KUR proposed by the Financial Institutions, (2) Knowing the magnitude of the Claim reserves should be established and the sufficient of Capital Adequacy Minimum to be provided by the Enterprise to cover the risk of loss, and to know the rate of Imbal Jasa Penjaminan (IJP) to be set by the Enterprise in order to avoid the risk of deficit is due to the risk of loss, (3) Figure out whether the model used in measuring the level of underwriting risk or credit can be applied fairly accurate and valid in determining / measuring the risk of Jamkrindo’s credit guarantee on the portfolio of KUR. Research object is the portfolio of KUR guarantee which published by Jamkrindo on timescales from months period starting January 2008 and his claim has occurred up to December 2011. In this study the risk measurement will be done by using the method of CreditRisk +. CreditRisk + is a method of risk measurement methods that use historical data to obtain the default risk of credit guarantee portfolio enterprises. Credit guarantee risk measurement using this method is done in several stages, which consist of data collection, separation default and non-default exposure, the distribution of exposure according to the band, the calculation of default rate, recovery rate calculation, the calculation saverty of losses, calculation probabilty of default, calculating cummulative probability of default, and the last stage is the calculation of risk of loss and unexpected loss consists expected loss. The results of risk measurement using CreditRisk + indicates that the average expected loss rate on each month to guarantee a period of 1, 2, and 3 years respectively amounted to 1.22%, 4.16% and 4.66% . While the average level of unexpected loss in each month to guarantee a period of 1, 2, and 3 years respectively amounted to 2.66%, 5.71%, and 14.71%. To find out the accuracy of the model in predicting the risk of model validation is performed using back testing and likelihood ratio test (LR-Test). LR-Test results are compared with the critical value of chi-squared with 1 degrees of freedom at a significance level of 99% indicates that the model can be acceptable and suitable for use in measuring the risk of underwriting the Kredit Usaha Rakyat (KUR). Key words : credit guarantee, credit guarantee risk, the minimum claim reserves, minimum capital adequacy, Expected Loss, Unexpected Loss and Internal Model Credit Risk+.

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