PERBANDINGAN EARLY WARNING SYSTEMS (EWS) UNTUK MEMPREDIKSI KEBANGKRUTAN BANK UMUM DI INDONESIA
Abstract
This research is testing the capability of several forewarning system models to predict bank bankruptcy. We apply these models on Indonesian commercial bank data during the period of 1994/ 1995 - 1999/2000. Considering the data incompleteness and or their inexistence, our data finally contains of 74 failed-banks and 81 non failed-banks.
Our result shows the Trait Recognition model (TR) is more pre-eminent than Logit and Multiple Discriminant Analysis model (MDA).
Keywords : Trait Recognition (TR), Logit, Multiple Discriminant Analysis (MDA), Bank Bankruptcy
JEL: C25, C35, G21, G33
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References
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_________, R. Halderman, and P. Narayanan, 1977, “Zeta Analysis”, Journal of Banking and Finance
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Benavidez, A. and M. Caputo, 1988, “Pattern Recognition of Earthquake Prone Areas in the Andrean Region”, Studie, University of Bologna
Bongard, M.M., M.I. Vaintsveig, S.A. Guberman and M.L. Izvekova, 1966, “The Use of Self Learning Programs in the Detection of Oil Containing Layers”, Geology Geofiz, Vol. 6
Briggs, P. and F. Press, 1977, “Pattern Recognition Applied to Uranium Prospecting”, Nature, Vol. 268
_________ and Sh.A. Guberman, 1977, “Pattern Recognition Applied to Earthquake Epicenters in California and Nevada”, Geological Society of America Bulletin, Vol. 88
Coats, P.K. and L.F. Fant, 1993, Recognizing Financial Distress Patterns Using a Neural Network Tool”, Financial Management, Vol. 22
Espahbodi, P., 1991, “Identification of Problem Banks and Binary Choice Models”, Journal of Banking and Finance, Vol. 15
Frydman, H., E.I. Altman and D. Kao, 1985, “Introducing Recursive Partitioning for Financial Classification : The Case of Financial Distress”, The Journal of Finance, Vol. 40
Gelfand, I.M., Sh.A. Guberman, M.L. Izvekova, V.I. Heilis-Borok and E. Ranzman, 1972, “Criteria of High Seismicity Determined by Pattern Recognition”, in Ritzema (ed.), The Upper Mantle, Tectonophysics, Vol. 13
_________, Sh.A. Guberman, V.I. Heilis-Borok, L. Knopoll, F. Press, E. Ranzman, I.M. Retwain and A.M. Sadovsky, 1976, “Pattern Recognition Applied to Earthquake Epicenters in California”, Physics of the Earth and Planetary Interiors, Vol. 11
Gilbert, L.R., K. Menon, K. Schwartz, 1990, “Predicting Bankruptcy for Firms in Financial Distress, Journal of Business, Finance and Accounting, Spring
Hair, Joseph F., Jr., Rolph E. Anderson, Ronald L. Tatham, William C. Black, 1998, Multivariate Data Analysis, Prentice-Hall International, Upper Saddle River, New Jersey
Herliansyah, Yudhi, Moch Syafrudin dan M. Didik Ardiyanto, 2002, “Model Prediksi Kebangkrutan Bank Go Public dan Bank Non Go Public di Indonesia”, Jurnal Maksi, Vol. 1, Agustus
Jagtiani, Julapa A., Kolari, James W., Lemieux, Catharine M., Shin, G. Hwan, 2000, Predicting Inadequate Capitalization : Early Warning System for Bank Supervision, Emerging Issues Series, Supervision and Regulation Department, Federal Reserve Bank of Chicago
Jones, F., 1987, “Current Techniques in Bankruptcy Prediction”, Journal of Accounting Literature, Vol. 6
Keasey, K. and P. McGuinness, 1990, “The Failure of UK Industrial Firms for the Period 1976-1984, Logistic Analysis and Entropy Measures”, Journal of Business, Finance & Accounting, Vol. 17, No. 1, Spring
Kolari, James, Caputo, Michele, Wagner, Drew, 1996, “Trait Recognition : An Alternative Approach to Early Warning Systems in Commercial Banking”, Journal of Business Finance
& Accounting, December, Vol. 23
_______, Glennon, Dennis, Shin, Hwan, Caputo, Michele, 2000, Predicting Large U.S. Commercial Bank Failures, Economic and Policy Analysis Working Paper
Lo, Andrew W., 1986, “Logit Versus Discriminant Analysis : A Specification Test and Application to Corporate Bankruptcies”, Journal of Econometrics, Vol. 31, No. 2, March
Marzuki, 1983, Metodologi Riset, Cetakan Ketiga, Bagian Penerbitan Fakultas Ekonomi-UII, Yogyakarta
Ohlson, J.A, 1980, “Financial Ratio and The Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research, Spring
Palepu, K.G., 1986, “Predicting Takeover Targets : A Methodological and Empirical Analysis”, Journal of Accounting and Economics, Vol. 8
Platt, Harlan D., Platt, Marjorie B., 1990, “Development of a Class of Stable Predictive Variables : The Case Bankruptcy Prediction”, Journal of Business Finance & Accounting, Vol. 17, No. 1, Spring
Platt, Harlan D., Platt, Marjorie B., Pedersen, Jon Gunnar, 1994, “Bankruptcy Discrimination with Real Variables”, Journal of Business Finance & Accounting, June
Siamat, Dahlan, 1993, Manajemen Bank Umum, Cetakan Pertama, Intermedia, Jakarta
__________, 2001, Manajemen Lembaga Keuangan, Edisi Ketiga, Cetakan Pertama, Lembaga Penerbit Fakultas Ekonomi Universitas Indonesia, Jakarta
Sinkey, J.F.Jr., 1975, ”A Multivariate Statistical Analysis of The Characteristic of Problem Banks”, Journal of Finance, Vol. XXX, No. 1, March
Thomson, J.B., 1991, “Predicting Bank Failures in 1980s”, Economic Review, Vol. 27
Whalen, G., and J. Thomson, 1988, “Using Financial Data to Identify Changes in Bank Condition”, Economic Review, Second Quarter
Wilopo, 2001, “Prediksi Kebangkrutan Bank”, Jurnal Riset Akuntansi Indonesia, Vol. 4, No. 2, Mei
_________, R. Halderman, and P. Narayanan, 1977, “Zeta Analysis”, Journal of Banking and Finance
Aryati, Titik dan Hekinus Manao, 2002, “Rasio Keuangan sebagai Prediktor Bank Bermasalah di Indonesia”, Jurnal Riset Akuntansi Indonesia, Vol. 5, No. 2, Mei
Beaver, W., 1966, “Financial Ratios as Predictors of Failure, Empirical Research in Accounting : Selected Studies”, Supplement, Vol. 5, Journal of Accounting Research
Benavidez, A. and M. Caputo, 1988, “Pattern Recognition of Earthquake Prone Areas in the Andrean Region”, Studie, University of Bologna
Bongard, M.M., M.I. Vaintsveig, S.A. Guberman and M.L. Izvekova, 1966, “The Use of Self Learning Programs in the Detection of Oil Containing Layers”, Geology Geofiz, Vol. 6
Briggs, P. and F. Press, 1977, “Pattern Recognition Applied to Uranium Prospecting”, Nature, Vol. 268
_________ and Sh.A. Guberman, 1977, “Pattern Recognition Applied to Earthquake Epicenters in California and Nevada”, Geological Society of America Bulletin, Vol. 88
Coats, P.K. and L.F. Fant, 1993, Recognizing Financial Distress Patterns Using a Neural Network Tool”, Financial Management, Vol. 22
Espahbodi, P., 1991, “Identification of Problem Banks and Binary Choice Models”, Journal of Banking and Finance, Vol. 15
Frydman, H., E.I. Altman and D. Kao, 1985, “Introducing Recursive Partitioning for Financial Classification : The Case of Financial Distress”, The Journal of Finance, Vol. 40
Gelfand, I.M., Sh.A. Guberman, M.L. Izvekova, V.I. Heilis-Borok and E. Ranzman, 1972, “Criteria of High Seismicity Determined by Pattern Recognition”, in Ritzema (ed.), The Upper Mantle, Tectonophysics, Vol. 13
_________, Sh.A. Guberman, V.I. Heilis-Borok, L. Knopoll, F. Press, E. Ranzman, I.M. Retwain and A.M. Sadovsky, 1976, “Pattern Recognition Applied to Earthquake Epicenters in California”, Physics of the Earth and Planetary Interiors, Vol. 11
Gilbert, L.R., K. Menon, K. Schwartz, 1990, “Predicting Bankruptcy for Firms in Financial Distress, Journal of Business, Finance and Accounting, Spring
Hair, Joseph F., Jr., Rolph E. Anderson, Ronald L. Tatham, William C. Black, 1998, Multivariate Data Analysis, Prentice-Hall International, Upper Saddle River, New Jersey
Herliansyah, Yudhi, Moch Syafrudin dan M. Didik Ardiyanto, 2002, “Model Prediksi Kebangkrutan Bank Go Public dan Bank Non Go Public di Indonesia”, Jurnal Maksi, Vol. 1, Agustus
Jagtiani, Julapa A., Kolari, James W., Lemieux, Catharine M., Shin, G. Hwan, 2000, Predicting Inadequate Capitalization : Early Warning System for Bank Supervision, Emerging Issues Series, Supervision and Regulation Department, Federal Reserve Bank of Chicago
Jones, F., 1987, “Current Techniques in Bankruptcy Prediction”, Journal of Accounting Literature, Vol. 6
Keasey, K. and P. McGuinness, 1990, “The Failure of UK Industrial Firms for the Period 1976-1984, Logistic Analysis and Entropy Measures”, Journal of Business, Finance & Accounting, Vol. 17, No. 1, Spring
Kolari, James, Caputo, Michele, Wagner, Drew, 1996, “Trait Recognition : An Alternative Approach to Early Warning Systems in Commercial Banking”, Journal of Business Finance
& Accounting, December, Vol. 23
_______, Glennon, Dennis, Shin, Hwan, Caputo, Michele, 2000, Predicting Large U.S. Commercial Bank Failures, Economic and Policy Analysis Working Paper
Lo, Andrew W., 1986, “Logit Versus Discriminant Analysis : A Specification Test and Application to Corporate Bankruptcies”, Journal of Econometrics, Vol. 31, No. 2, March
Marzuki, 1983, Metodologi Riset, Cetakan Ketiga, Bagian Penerbitan Fakultas Ekonomi-UII, Yogyakarta
Ohlson, J.A, 1980, “Financial Ratio and The Probabilistic Prediction of Bankruptcy”, Journal of Accounting Research, Spring
Palepu, K.G., 1986, “Predicting Takeover Targets : A Methodological and Empirical Analysis”, Journal of Accounting and Economics, Vol. 8
Platt, Harlan D., Platt, Marjorie B., 1990, “Development of a Class of Stable Predictive Variables : The Case Bankruptcy Prediction”, Journal of Business Finance & Accounting, Vol. 17, No. 1, Spring
Platt, Harlan D., Platt, Marjorie B., Pedersen, Jon Gunnar, 1994, “Bankruptcy Discrimination with Real Variables”, Journal of Business Finance & Accounting, June
Siamat, Dahlan, 1993, Manajemen Bank Umum, Cetakan Pertama, Intermedia, Jakarta
__________, 2001, Manajemen Lembaga Keuangan, Edisi Ketiga, Cetakan Pertama, Lembaga Penerbit Fakultas Ekonomi Universitas Indonesia, Jakarta
Sinkey, J.F.Jr., 1975, ”A Multivariate Statistical Analysis of The Characteristic of Problem Banks”, Journal of Finance, Vol. XXX, No. 1, March
Thomson, J.B., 1991, “Predicting Bank Failures in 1980s”, Economic Review, Vol. 27
Whalen, G., and J. Thomson, 1988, “Using Financial Data to Identify Changes in Bank Condition”, Economic Review, Second Quarter
Wilopo, 2001, “Prediksi Kebangkrutan Bank”, Jurnal Riset Akuntansi Indonesia, Vol. 4, No. 2, Mei
Published
2005-05-20
How to Cite
Angelina, SE, Msi, Akt, L. (2005). PERBANDINGAN EARLY WARNING SYSTEMS (EWS) UNTUK MEMPREDIKSI KEBANGKRUTAN BANK UMUM DI INDONESIA. Buletin Ekonomi Moneter Dan Perbankan, 7(3), 461 -. https://doi.org/10.21098/bemp.v7i3.120
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
