Stress Test of Credit Risk using Montecarlo Simulation : Indonesian Sharia Rural Banks
DOI:
https://doi.org/10.24191/jeeir.v13i1.2135Abstract
This stress test examines macroeconomic shocks' effect on credit risk in Indonesian Sharia Rural Banks using Montecarlo simulations with 500,000 trials. Macroeconomic impact on financing or credit growth, GDP growth, inflation, interest rates, and exchange rates are tested for Non-performing Financing (NPF) using Error Correction Model (ECM) regression to obtain the best model for stress tests. The regression results show that GDP growth, inflation, and exchange rate significantly affect the NPF in the long term, while interest rate significantly affects the NPF in the short term. The financing or credit growth has no significant effect on the NPF in both the long and short term. Stress test results show that Indonesia Islamic Rural Bank has a high probability of default with a forecasted NPF maximum of 10.91%, a difference NPF max. is 0,33 %, and a certainty level of 95%. The bank must pay attention to the factors that affect NPF, especially the exchange rate, which has a strong effect, and try to anticipate the high probability of default with sufficient capital to cover losses.
References
Abel, A. B., Bernanke, B. S., & Croushore, D. (2008). Macroeconomics (6th ed.). Addison Wesley.
Adam, L. (2015). Mengurai penyebab dan solusi pelemahan nilai tukar rupiah. Jurnal Ekonomi dan Kebijakan Publik, 7(15), 13-16.
Ahmad, F., & Bashir, T. (2013). Explanatory power of macroeconomic variables as determinants of non-performing loans: Evidence from Pakistan. World Applied Science Journal 22(2): 243-255.
Alfaro, R., Franken, H., Garcia, C., & Jara, A. (2004). The bank lending channel in Chile. Banking Market Structure and Monetary Policy.
Auliani, M. M., & Syaichu, M. (2016). Analisis pengaruh faktor internal dan faktor eksternal terhadap tingkat pembiayaan bermasalah pada bank umum syariah di Indonesia periode tahun 2010-2014. Diponegoro Journal of Management, 5(3), 559-572. https://ejournal3.undip.ac.id/index.php/djom/article/view/14644
Barus, A. C., & Erick. 2016. Analisis faktor-faktor yang mempengaruhi non performing loan pada bank umum di Indonesia. Jurnal Wira Ekonomi Mikroskil, 5(1), 113-122. https://doi.org/10.55601/jwem.v6i2.325
Basel Committee on Banking Supervision. (2009). Principles for sound stress testing practices and supervision. Bank for International Settlements.
Beltratti, A., & Stulz, R. M. (2011). The credit crisis around the globe: why did some banks perform better? Fisher College of Business Working Paper No. 2010-03-005
Bernanke, B. S. (2013). Stress testing banks: What have we learned? Financial Markets Conference Speech. Federal Reserve Bank of Atlanta.
Curak, M., Pepur, S., & Poposki, K. (2013). Determinants of non-performing loans -evidence from Southeastern European banking systems. Banks and Bank Systems, 8(1). 45-53.
Dewi, I. P. (2020). Pengaruh inflasi, kurs, dan harga minyak dunia terhadap indeks harga saham gabungan di bursa efek Indonesia. Jurnal Ilmu Manajemen, 17(1), 10-19.
Fatwa Dewan Syariah Nasional MUI 2007 No: 64/DSN-MUI/XII/2007
Firdaus, N. N. 2017. Analisis determinan non performing loan pada bank umum konvensional di Indonesia [Master’s thesis, Universitas Negeri Yogyakarta]. Eprints UNY. https://eprints.uny.ac.id/52223/1/NoviaNurulFirdaus_13808141036.pdf
Ghosh, A. (2015). Banking-industry specific and regional economic determinants of non performing loans: Evidence from US states. Journal of Financial Stability, 20, 93– 104.
Harahap, M. A. (2016). Faktor-faktor yang mempengaruhi non performing financing pada bank syariah [Master’s thesis, Universitas Islam Negeri Sumatera Utara]. UIN Sumatera Utara Repository. http://repository.uinsu.ac.id/1247/1/Tesis%20Muhammad%20Arfan%20Harahap%20docx.pdf
Hibbeln, M. (2010). Risk management in credit portfolios, concentration risk and basel II. Physica-Verlag.
Indra. (2018). A macro stress test model of credit risk: An empirical studies of conventional and Islamic banking in Indonesia. Jurnal Ekonomi & Kebijakan Publik, 9(2). 113-129. https://jurnal.dpr.go.id/index.php/ekp/article/view/1063/654?csrt=12585961355698327835
Karmila. (2013). Bank loans. PT Intan Sejati Klaten.
Kasmir. (2011). Manajemen perbankan. PT Raja Grafindo Persada.
Keeton, W. R. (1999). Does faster loan growth lead to higher loan losses? Economic Review, Second Quarter. Federal Reserve Bank of Kansas City.
Klein, N. (2013). Non-Performing Loans in CESEE: Determinants and impact on macroeconomic performance. IMF Working Paper No 13/72. International Monetary Fund.
https://doi.org/10.5089/9781484318522.001
Mankiw, N. G. (2006). Pengantar ekonomi makro (3rd ed.). Salemba Empat Jakarta.
Muhammad. (2002). Sistem dan operasional bank syariah. UII Press.
Nugrohowati, R. N. I., & Bimo, S. (2019). Analisis pengaruh faktor internal bank dan eksternal terhadap non-performing financing (NPF) pada bank perkreditan rakyat syariah di Indonesia. Jurnal Ekonomi & Keuangan Islam, 5(1), 42-49.
Ong, M. K. (1999). Internal credit risk models: Capital allocation and performance measurement. Risk Books.
Peraturan Bank Indonesia 2003 No.5/7/PBI/2003
Peraturan Bank Indonesia 2007 No.9/29/PBI/DPbs/2007
Poetry, Z. D., & Sanrego, Y. D. (2014). Pengaruh variabel makro dan mikro terhadap NPL perbankan konvensional dan NPF perbankan syariah. Tazkia Islamic Finance and Business Review, 6(2), 79-104. https://doi.org/10.30993/tifbr.v6i2.53
Putri, R. N. S. (2016). Perilaku suku bunga perbankan di Indonesia. Jurnal Pendidikan Ekonomi Dan Bisnis, 4(2), 109-135.
Quagliariello, M. (2009). Stress testing the banking system: Methodologies and applications. Cambridge University Press.
Rahutami, A. I. (2011). Model linier dinamik. Universitas Katolik Soegijapranata.
Rindang. (2019). Analysis of the influence of bank internal and external factors on non-performing financing (NPF) in Islamic rural banks in Indonesia. Journal of Islamic Economics & Finance, 5(1), 42-49
Rivai, V., & Ismail, R. (2013). Islamic risk management for Islamic bank. PT Gramedia Pustaka Utama.
Romadhoni, N. (2017). Analisis kinerja keuangan PT. BRI Syariah dengan menggunakan pendekatan rasio risk profile, good corporate governance, earnings, and capital tahun 2015-2017 [Master’s thesis, Institut Agama Islam negeri Purwokerto]. UNI Saizu. https://repository.uinsaizu.ac.id/7436/
Salinan Peraturan Otoritas Jasa Keuangan Republik Indonesia 2019 No.40/POJK.03/2019
Saputro, A. R., Sarumpaet, S., & Prasetyo, T. J. (2019). Analisa pengaruh pertumbuhan kredit, jenis kredit, tingkat bunga pinjaman bank dan inflasi terhadap kredit bermasalah. Ekspansi: Jurnal Ekonomi, Keuangan, Perbankan dan Akuntansi, 11(5), 1-11.
SK Direktur Bank Indonesia 1998 No.30/267/KEP/DIR
Sukirno, S. (2002). Makro ekonomi modern. P.T.Rajawali Grafindo Persada.
Sulastri, E., Hariadi, S., & Ariani, M. (2016). Analisis faktor atas non-performing financing BPR Syariah di Indonesia periode 2012–2014. Jurnal Ekonomi dan Bisnis, 20(2), 59–68.
Surat Edaran Bank Indonesia 2007 No 9/29/DPbS
Taswan. (2006). Manajemen perbankan. Upp Stim Ykpn Yogyakarta.
Undang-undang Republik Indonesia 2008
Wahyudin, M. W., Novianty, I., & Burhany, D. I. (2020). The effect of economic condition and banking policy on non-performing financing and profitability: Evidence from Islamic rural banks in Indonesia. In ISSAT: International Seminar of Science and Applied Technology. Advances in Engineering Research, 198 (pp.545-551). Atlantis Press. http://dx.doi.org/10.2991/aer.k.201221.090
Widyaningsih, A. (2021) Analisis faktor makro ekonomi yang mempengaruhi non performing loan pada perusahaan perbankan yang terdaftar di BEI [Thesis, Universitas Muhammadiyah Surakarta]. Eprints UMS. https://eprints.ums.ac.id/89472/1/NASKAH%20PUBLIKASI.pdf
Wijoyo , N. A. (2016). Menakar kinerja perusahaan pembiayaan. Penerbit Universitas Indonesia.
Yolanda, S. (2019). Pengaruh faktor internal dan eksternal terhadap pembiayaan bermasalah pada Bank Umum Syariah (BUS) dan Bank Pembiayaan Rakyat Syariah (BPRS). Jurnal Kajian Ekonomi dan Pembangunan, 1(3), 834-844.
Yulianto, A., & Solikhah, B. (2016). The internal factors of Indonesian sharian banking to predict the mudharabah deposits. Review of Integrative Business & Economic Research 5(1), 210–218.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2025 Uvy Dian Rizky, Abdul Mongid
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
