FEASI BILITY HASIL PERHITUNGAN INTERIAL RATING BASED APPROACH CREDIT RISK BASEL II STUDI PADA PT BANK UOB INDONESIA SEGMEN WHOLESALE
| Main Authors: | , Dewi Gayatri, , Dr. Erni Ekawati, M.B.A., M.S.A |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2014
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/133473/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=74144 |
Daftar Isi:
- PT. Bank UOB Indonesia is currently preparing to adopt the Basel II Framework on Risk Based Capital Adequacy Requirements, to prepare model development for the calculation of the debtor's internal credit ratings, particularly the wholesale segment, Corporate Banking and Commercial Banking. The internal rating is one of the requirements that must be met in risk measurement by using the method according to Basel II, with reference to the methods, processes, controls, data collection and information technology systems that support the assessment of credit risk. The purpose of this paper is to analyze the comparative value of the minimum capital requirement in the form of Risk Weighted Assets (RWA), Expected Loss, Unexpected Loss, by using a method based on the Basel II Standardized Approach, Foundation IRB Approach, and Advanced IRB Approach. For the analysis that has been carried out, obtained the conclusion that: By using the method of Advance Internal Rating Based (IRB), the Bank may result lower RWA. The difference value between RWA calculation using IRB Foundation method and Standardized Approach is Rp. 0.21 T, and when compared to the method using the Standardized Approach and Advanced IRB, then the resulting difference is much greater, Rp. 4.8 T. So the difference between the method of calculation Foundation IRB and Advanced IRB is Rp. 4.59 T. If the Bank implements the IRB Foundation method, it can save RWA about Rp.0.21 T, this will be a good sign for the Bank, because CAR (Capital Adequacy Ratio) that generated by the Bank will be increased if using the same capital value, meaning that the Bank still has room to grow its business, both in the credit activity and market & operational activitiy.