MARKET RISK ASSESSMENT DI PERBANKAN NASIONAL

  • Wimboh Santoso
  • Enrico Hariantoro

Abstract

Paper ini disusun sebagai hasil penelitian berupa assessment terhadap perhitungan permodalan bank dengan memasukkan unsur market risk. Sejak BIS mengeluarkan dokumen “Amendment to the Capital Accord to Incorporate Market Risk” pada bulan Januari 1996 yang disusul implementasinya oleh perbankan internasional mulai Desember 1997, terjadi perubahan yang signifikan dalam perhitungan CAR bank. Perhitungan CAR yang semula hanya memperhitungkan credit risk diperluas dengan memasukkan unsur market risk.

Namun demikian hingga saat ini perhitungan CAR bank di Indonesia masih mengacu pada Basel Capital Accord 1988 yang hanya memperhitungkan credit risk. Oleh sebab itu peneliti bermaksud melakukan exercise perhitungan CAR bank secara individual terhadap beberapa bank devisa besar untuk mengetahui besarnya exposure market risk yang dihadapi bank-bank tersebut. Sampel penelitian adalah 11 bank devisa dengan posisi neraca 30 Juni 2000 dan data historis yang digunakan untuk menghitung volatilitas adalah periode 1 Juni 1999 sampai dengan 31 Mei 2000.

Hasil penelitian menunjukkan bahwa bank-bank yang menjadi sampel menghadapi market risk yang signifikan dalam kegiatan operasinya yang seharusnya dibackup dengan modal yang cukup. Mengingat kondisi perbankan nasional yang masih dalam tahap pemulihan setelah krisis, maka menurut hemat peneliti penerapan aspek market risk dalam perhitungan CAR belum saatnya diterapkan dalam waktu dekat. Namun demikian untuk keperluan risk management dan pengendalian intenal maka peneliti merekomendasikan agar perbankan nasional perlu mengakomodasi aspek market risk.

 

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Published
2004-06-17
How to Cite
Santoso, W., & Hariantoro, E. (2004). MARKET RISK ASSESSMENT DI PERBANKAN NASIONAL. Buletin Ekonomi Moneter Dan Perbankan, 5(4), 14-42. https://doi.org/10.21098/bemp.v5i4.319
Section
Articles