Analisis risiko kredit menggunakan creditmetrics dan fundamental pada perbankan buku iii

Ni Luh Putu Sipta Dewi Anindita, Rhenty Puspita, Zaskia Ayunda Lukietta, Dewi Hanggraeni

Abstract


Investasi obligasi memberikan pendapataan tetap positif yang relatif lebih tinggi daripada deposito. Walaupun banyak keuntungan dari investasi obligasi, Investor tetap harus memperhatikan risiko kredit yang melekat pada obligasi. Penelitian ini menggunakan CreditMetrics untuk menunjukan bahwa migrasi rating kredit, kupon dan jangka waktu memoengaruhi valusai sebuah obligasi dengan Bank buku 3 sebagai sampel. Hasilnya menunukan bahwa nilai valuasi obligasi akan menurun sebesar 0,032% untuk Obligasi Bank dengan rating AAA ke rating BBB. Berdasarkan analisis fundamental, kinerja keuangan untuk Bank dengan rating AAA menunjukan kinerja yang lebih baik daripada Bank dengan rating BBB. Dapat ditarik kesimpulan bahwa obligasi dengan kinerja keuangan yang baik memiliki risiko kredit yang lebih rendah dan memberikan Investor kupon yang lebih rendah. Hal ini menunjukan bahwa pengukuran risiko kredit dengan metode CreditMetrics sejalan dengan analisis fundamental perusahaan.


Keywords


Obligasi; rating obligasi; transisi matrix; risiko kredit; metode creditmetrics

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DOI: http://dx.doi.org/10.29264/jmmn.v11i2.5745

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