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Abstract
Bank adalah badan usaha yang menanggung risiko paling banyak, khususnya risiko kredit. Penelitian ini bertujuan untuk mengetahui pengaruh corporate governance, diversifikasi kredit, dan ukuran bank terhadap risiko kredit pada perusahaan perbankan yang tercatat di Bursa Efek Indonesia. Variabel independen pada penelitian ini adalah corporate governance, diversifikasi kredit, dan ukuran bank. Corporate governance diproksikan dalam bentuk nilai komposit corporate governance yang diberikan skor 1 untuk bank dengan nilai komposit 3, skor 2 untuk bank dengan nilai komposit 2, dan skor 3 untuk bank dengan nilai komposit 1, diversifikasi kredit diukur menggunakan 1-HHI (Herfindahl-Hirschman Index), dan ukuran bank diukur menggunakan peringkat KBMI (Kelompok Bank berdasarkan Modal Inti) yang terdiri dari kategori KBMI 1, KBMI 2, KBMI 3, atau KBMI 4. Variabel dependen pada penelitian ini adalah risiko kredit yang diukur dengan tingkat non-performing loan (NPL). Penelitian ini menggunakan sampel sebanyak 26 bank yang terdaftar pada Bursa Efek Indonesia selama periode 2015-2021. Metode analisis yang digunakan dalam penelitian ini adalah metode uji asumsi klasik dan regresi data panel. Hasil yang peneliti dapatkan dalam penelitian ini adalah corporate governance dan ukuran bank memiliki pengaruh negatif terhadap risiko kredit sedangkan diversifikasi kredit memiliki pengaruh positif terhadap risiko kredit. Keterbatasan penelitian ini adalah tidak adanya faktor-faktor lain seperti suku bunga, inflasi, nilai tukar, capital adequacy ratio (CAR), dan loan to deposit ratio (LDR). Sehingga penelitian selanjutnya disarankan untuk menambahkan variabel-variabel lain tersebut.
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Copyright (c) 2022 Adyatama Yuda Millenio, Zaenal Arifin
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References
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- Alrfai, M.M., Salleh, D.B. and Waemustafa, W. (2022) ‘Empirical Examination of Credit Risk Determinant of Commercial Banks in Jordan’, Risks, 10(4), p. 85. Available at: https://doi.org/10.3390/risks10040085.
- Bastomi, M., Salim, U. and Aisjah, S. (2017) ‘The Role of Corporate Governance and Risk Management on Banking Financial Performance in Indonesia’, Jurnal Keuangan dan Perbankan, 21(4), pp. 670-680. Available at: https://doi.org/10.26905/jkdp.v21i4.1285.
- Bhattarai, B.P. (2018) ‘Assessing Banks Internal and Macroeconomic Factors as Determinants of Non- Performing Loans: Evidence from Nepalese Commercial Banks’, International Journal of Accounting & Finance Review, 3(1), pp. 13–32. Available at: https://doi.org/10.46281/ijafr.v3i1.28.
- Chen, Y. et al. (2014) ‘HOW DOES CREDIT PORTFOLIO DIVERSIFICATION AFFECT BANKS’ RETURN AND RISK? EVIDENCE FROM CHINESE LISTED COMMERCIAL BANKS’, Technological and Economic Development of Economy, 20(2), pp. 332–353. Available at: https://doi.org/10.3846/20294913.2014.915246.
- Ikatan Bankir Indonesia (2015) Manajemen Risiko . 2nd edn. Jakarta: Gramedia Pustaka Utama.
- Iqbal, M. (2017) ‘Perbandingan Pengelolaan Risiko Kredit Perbankan Syariah dan Perbankan Konvensional’, Jurnal Keuangan dan Perbankan, 21(3), pp. 481-497. Available at: https://doi.org/10.26905/jkdp.v21i3.1318.
- Jahn, N., Memmel, C. and Pfingsten, A. (2016) ‘Banks’ Specialization versus Diversification in the Loan Portfolio’, Schmalenbach Business Review, 17(1), pp. 25–48. Available at: https://doi.org/10.1007/s41464-016-0006-7.
- Koju, L., Koju, R. and Wang, S. (2018) ‘Does Banking Management Affect Credit Risk? Evidence from the Indian Banking System’, International Journal of Financial Studies, 6(3), p. 67. Available at: https://doi.org/10.3390/ijfs6030067.
- Morina, D. (2020) ‘Determinants of Credit Risk in Commercial Banks of Kosovo’, International Journal of Economics and Business Administration, 8(2), pp. 179–190. Available at: https://doi.org/10.35808/ijeba/450.
- Peraturan Bank Indonesia Nomor 15/2/PBI/2013 (2013) Penetapan Status dan Tindak Lanjut Pengawasan Bank Umum Konvensional. Lembaran Negara Republik Indonesia Tahun 2013 Nomor 93 DPNP. Jakarta.
- Peraturan Bank Indonesia Nomor 17/11/PBI/2015 (2015) Giro Wajib Minimum Bank Umum Pada Bank Indonesia Dalam Rupiah Dan Valuta Asing Bagi Bank Umum Konvesional. Jakarta: Lembaran Negara Republik Indonesia Tahun 2015 Nomor 152.
- Peraturan Bank Indonesia Nomor 24/7/PBI/2022 (2022) Transaksi di Pasar Valuta Asing. Jakarta: Lembaran Negara Republik Indonesia Tahun 2022 Nomor 8/BI.
- Peraturan Otoritas Jasa Keuangan Nomor 4/POJK.03/2016 (2016) Penilaian Tingkat Kesehatan Bank Umum. Jakarta: Lembaran Negara Republik Indonesia Tahun 2016 Nomor 16.
- Peraturan Otoritas Jasa Keuangan Nomor 34/POJK.03/2016 (2016) Kewajiban Penyediaan Modal Minimum Bank Umum. Jakarta: Lembaran Negara Republik Indonesia Tahun 2016 Nomor 188.
- Peraturan Otoritas Jasa Keuangan Nomor 55/POJK.03/2016 (2016) Penerapan Tata Kelola Bagi Bank Umum. Jakarta: Lembaran Negara Republik Indonesia Tahun 2016 Nomor 286.
- Permatasari, I. (2020) ‘Does corporate governance affect bank risk management? Case study of Indonesian banks’, International Trade, Politics and Development, 4(2), pp. 127–139. Available at: https://doi.org/10.1108/ITPD-05-2020-0063.
- Pertiwi, R.E., Syaukat, Y. and Rachmina, D. (2020) ‘FAKTOR YANG MEMENGARUHI KREDIT BERMASALAH BANK KONVENSIONAL DAN SYARIAH DI INDONESIA’, Jurnal Aplikasi Bisnis dan Manajemen, 6(1), pp. 118-127 [Preprint]. Available at: https://doi.org/10.17358/jabm.6.1.118.
- Rismawati, D. and Utami, N.R.T. (2018) Pengaruh Good Corporate Governance dan Struktur Kepemilikan Terhadap Kesehatan Bank yang Terdaftar di Bursa Efek Indonesia. Universitas Islam Indonesia.
- Rossi, S.P.S., Schwaiger, M.S. and Winkler, G. (2009) ‘How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks’, Journal of Banking & Finance, 33(12), pp. 2218–2226. Available at: https://doi.org/10.1016/j.jbankfin.2009.05.022.
- Salhi, B. and Boujelbene, Y. (2012) ‘Effect of the Internal Banking Mechanisms of Governance on the Risk-Taking by the Tunisian Banks’, International Journal of Economics, Financem and Management, 1(1), pp. 8–19.
- Sparta (2016) ‘Risiko Kredit Dan Efisiensi Perbankan Di Indonesia’, MIX JURNAL ILMIAH MANAJEMEN, 1, pp. 28–44.
- Tabak, B.M., Fazio, D.M. and Cajueiro, D.O. (2011) ‘The effects of loan portfolio concentration on Brazilian banks’ return and risk’, Journal of Banking & Finance, 35(11), pp. 3065–3076. Available at: https://doi.org/10.1016/j.jbankfin.2011.04.006.
- Trinh, T.H., Duyen, T.T.T. and Thao, N.T. (2015) ‘The Impact of Corporate Governance on Financial Risk in Vietnamese Commercial Banks’, International Journal of Economics and Finance, 7(7), pp. 123-130. Available at: https://doi.org/10.5539/ijef.v7n7p123.
- Untoro, U. (2005) ‘DEFAULT RISK DAN PENJAMINAN KREDIT UKM’, Buletin Ekonomi Moneter dan Perbankan, 7(4), pp. 584-620. Available at: https://doi.org/10.21098/bemp.v7i4.125.
- Yuliani, F.D. and Fithria, A. (2022) ‘The Effect of Implementing Good Corporate Governance on the Profitability and Financing Risk of Sharia Commercial Banks’, EKONOMIKA SYARIAH : Journal of Economic Studies, 6(1), p. 01. Available at: https://doi.org/10.30983/es.v6i1.4863.
References
Adegboye, A., Ojeka, S. and Adegboye, K. (2020) ‘Corporate governance structure, Bank externalities and sensitivity of non-performing loans in Nigeria’, Cogent Economics & Finance, 8(1), p. 1816611. Available at: https://doi.org/10.1080/23322039.2020.1816611.
Alrfai, M.M., Salleh, D.B. and Waemustafa, W. (2022) ‘Empirical Examination of Credit Risk Determinant of Commercial Banks in Jordan’, Risks, 10(4), p. 85. Available at: https://doi.org/10.3390/risks10040085.
Bastomi, M., Salim, U. and Aisjah, S. (2017) ‘The Role of Corporate Governance and Risk Management on Banking Financial Performance in Indonesia’, Jurnal Keuangan dan Perbankan, 21(4), pp. 670-680. Available at: https://doi.org/10.26905/jkdp.v21i4.1285.
Bhattarai, B.P. (2018) ‘Assessing Banks Internal and Macroeconomic Factors as Determinants of Non- Performing Loans: Evidence from Nepalese Commercial Banks’, International Journal of Accounting & Finance Review, 3(1), pp. 13–32. Available at: https://doi.org/10.46281/ijafr.v3i1.28.
Chen, Y. et al. (2014) ‘HOW DOES CREDIT PORTFOLIO DIVERSIFICATION AFFECT BANKS’ RETURN AND RISK? EVIDENCE FROM CHINESE LISTED COMMERCIAL BANKS’, Technological and Economic Development of Economy, 20(2), pp. 332–353. Available at: https://doi.org/10.3846/20294913.2014.915246.
Ikatan Bankir Indonesia (2015) Manajemen Risiko . 2nd edn. Jakarta: Gramedia Pustaka Utama.
Iqbal, M. (2017) ‘Perbandingan Pengelolaan Risiko Kredit Perbankan Syariah dan Perbankan Konvensional’, Jurnal Keuangan dan Perbankan, 21(3), pp. 481-497. Available at: https://doi.org/10.26905/jkdp.v21i3.1318.
Jahn, N., Memmel, C. and Pfingsten, A. (2016) ‘Banks’ Specialization versus Diversification in the Loan Portfolio’, Schmalenbach Business Review, 17(1), pp. 25–48. Available at: https://doi.org/10.1007/s41464-016-0006-7.
Koju, L., Koju, R. and Wang, S. (2018) ‘Does Banking Management Affect Credit Risk? Evidence from the Indian Banking System’, International Journal of Financial Studies, 6(3), p. 67. Available at: https://doi.org/10.3390/ijfs6030067.
Morina, D. (2020) ‘Determinants of Credit Risk in Commercial Banks of Kosovo’, International Journal of Economics and Business Administration, 8(2), pp. 179–190. Available at: https://doi.org/10.35808/ijeba/450.
Peraturan Bank Indonesia Nomor 15/2/PBI/2013 (2013) Penetapan Status dan Tindak Lanjut Pengawasan Bank Umum Konvensional. Lembaran Negara Republik Indonesia Tahun 2013 Nomor 93 DPNP. Jakarta.
Peraturan Bank Indonesia Nomor 17/11/PBI/2015 (2015) Giro Wajib Minimum Bank Umum Pada Bank Indonesia Dalam Rupiah Dan Valuta Asing Bagi Bank Umum Konvesional. Jakarta: Lembaran Negara Republik Indonesia Tahun 2015 Nomor 152.
Peraturan Bank Indonesia Nomor 24/7/PBI/2022 (2022) Transaksi di Pasar Valuta Asing. Jakarta: Lembaran Negara Republik Indonesia Tahun 2022 Nomor 8/BI.
Peraturan Otoritas Jasa Keuangan Nomor 4/POJK.03/2016 (2016) Penilaian Tingkat Kesehatan Bank Umum. Jakarta: Lembaran Negara Republik Indonesia Tahun 2016 Nomor 16.
Peraturan Otoritas Jasa Keuangan Nomor 34/POJK.03/2016 (2016) Kewajiban Penyediaan Modal Minimum Bank Umum. Jakarta: Lembaran Negara Republik Indonesia Tahun 2016 Nomor 188.
Peraturan Otoritas Jasa Keuangan Nomor 55/POJK.03/2016 (2016) Penerapan Tata Kelola Bagi Bank Umum. Jakarta: Lembaran Negara Republik Indonesia Tahun 2016 Nomor 286.
Permatasari, I. (2020) ‘Does corporate governance affect bank risk management? Case study of Indonesian banks’, International Trade, Politics and Development, 4(2), pp. 127–139. Available at: https://doi.org/10.1108/ITPD-05-2020-0063.
Pertiwi, R.E., Syaukat, Y. and Rachmina, D. (2020) ‘FAKTOR YANG MEMENGARUHI KREDIT BERMASALAH BANK KONVENSIONAL DAN SYARIAH DI INDONESIA’, Jurnal Aplikasi Bisnis dan Manajemen, 6(1), pp. 118-127 [Preprint]. Available at: https://doi.org/10.17358/jabm.6.1.118.
Rismawati, D. and Utami, N.R.T. (2018) Pengaruh Good Corporate Governance dan Struktur Kepemilikan Terhadap Kesehatan Bank yang Terdaftar di Bursa Efek Indonesia. Universitas Islam Indonesia.
Rossi, S.P.S., Schwaiger, M.S. and Winkler, G. (2009) ‘How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks’, Journal of Banking & Finance, 33(12), pp. 2218–2226. Available at: https://doi.org/10.1016/j.jbankfin.2009.05.022.
Salhi, B. and Boujelbene, Y. (2012) ‘Effect of the Internal Banking Mechanisms of Governance on the Risk-Taking by the Tunisian Banks’, International Journal of Economics, Financem and Management, 1(1), pp. 8–19.
Sparta (2016) ‘Risiko Kredit Dan Efisiensi Perbankan Di Indonesia’, MIX JURNAL ILMIAH MANAJEMEN, 1, pp. 28–44.
Tabak, B.M., Fazio, D.M. and Cajueiro, D.O. (2011) ‘The effects of loan portfolio concentration on Brazilian banks’ return and risk’, Journal of Banking & Finance, 35(11), pp. 3065–3076. Available at: https://doi.org/10.1016/j.jbankfin.2011.04.006.
Trinh, T.H., Duyen, T.T.T. and Thao, N.T. (2015) ‘The Impact of Corporate Governance on Financial Risk in Vietnamese Commercial Banks’, International Journal of Economics and Finance, 7(7), pp. 123-130. Available at: https://doi.org/10.5539/ijef.v7n7p123.
Untoro, U. (2005) ‘DEFAULT RISK DAN PENJAMINAN KREDIT UKM’, Buletin Ekonomi Moneter dan Perbankan, 7(4), pp. 584-620. Available at: https://doi.org/10.21098/bemp.v7i4.125.
Yuliani, F.D. and Fithria, A. (2022) ‘The Effect of Implementing Good Corporate Governance on the Profitability and Financing Risk of Sharia Commercial Banks’, EKONOMIKA SYARIAH : Journal of Economic Studies, 6(1), p. 01. Available at: https://doi.org/10.30983/es.v6i1.4863.