ANALISIS PORTOFOLIO KREDIT, RISIKO, DAN RETURN BANK UMUM KONVENSIONAL
DOI:
https://doi.org/10.25170/jm.v19i1.2334Keywords:
Credit Portfolio Concentration, Diversification, Credit Risk, ReturnAbstract
This study aims to determine the credit portfolio strategy (focus or diversification strategy) based on the economic sector in conventional commercial banks grouped by business activity (BUKU) in the period January 2016 - December 2018 and analyze the effect of credit portfolio concentration and credit risk on rates of return. This study uses secondary data obtained from Indonesian Banking Statistics at the Financial Services Authority (OJK). This study used 4 samples, namely BUKU 1, BUKU 2, BUKU 3, BUKU 4. The results showed that the concentration of the credit portfolio had a positive effect on credit risk, while credit risk had a negative effect on return. In addition, the mediating role of the credit risk variable is not proven to affect the effect of the credit portfolio and credit risk. These results suggest that the credit portfolio concentration strategy in certain sector can increase credit risk so that it tends to reduce the rate of return. Thus, banks need to diversify their credit portfolios to minimize credit risk.
References
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E-Jurnal Manajemen Universitas Udayana, 2(8), 885–902.
Al-kayed, L.T., & Aliani, K.C. (2020). Effects of focus versus diversification on bank risk and return: Evidence from Islamic banks’ loan portfolios. Journal of Islamic Accounting and Business Research, 11(9), 2155–2168. https://doi.org/10.1108/JIABR-10-2019-0192
Asnel, R.S., Anggraeni, L., & Rifin, A. (2020). Optimalisasi portofolio kredit untuk perencanaan ekspansi kredit pada perbankan nasional. Jurnal Aplikasi Bisnis Dan Manajemen, 6(2), 269–280. https://doi.org/10.17358/jabm.6.2.269
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Atahau, A.D.R., & Cronje, T. (2014). Loan portfolio structure and performance of government-owned banks in Indonesia: Does size matter? Corporate Ownership and Control, 11(4), 379–390. https://doi.org/10.22495/cocv11i4c4p1
Atahau, A.D.R., & Cronje, T. (2019). Does focus strategy work? A study of bank loan portfolios in Indonesia. Journal of Asia Business Studies, 13(3), 450–471. https://doi.org/10.1108/JABS-11-2017-0202
Barus, A.C., & Lu, M. (2013). Pengaruh spread tingkat suku bunga dan rasio keuangan terhadap penyaluran kredit UMKM pada bank umum di Indonesia. Jurnal Wira Ekonomi Mikroskil, 3(1), 11–20.
Candradewi, N. (2008). Analisis posisi kredit per sektor ekonomi pada perbankan di Indonesia. In Universitas Diponegoro Semarang.
Chen, Y., Shi, Y., Wei, X., & Zhang, L. (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), 332–353. https://doi.org/10.3846/20294913.2014.915246
Chen, Y., Wei, X., & Zhang, L. (2013). A new measurement of sectoral concentration of credit portfolios. Procedia Computer Science, 17, 1231–1240. https://doi.org/10.1016/j.procs.2013.05.157
Christianti, A. (2011). Diversifikasi kredit terhadap profitabilitas kegagalan bank. Jurnal Keuangan Dan Perbankan, 15(3), 428–436. https://doi.org/10.26905/jkdp.v15i3.1035
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Fadli, J.A. (2019). Should bank diversify their income and credit? Evidence from Indonesia banking industry. KINERJA, 23(1), 28–41. https://doi.org/10.24002/kinerja.v23i1.2124
Fadli, J.A., Sakti, I.M., & Jumono, S. (2021). Market power and bank liquidity risk: Implementations of Basel III using net stable funding ratio approach. Jurnal Keuangan Dan Perbankan, 25(2), 434–449. https://doi.org/10.26905/jkdp.v25i2.5525
Fahmi, I. (2016). Manajemen risiko. Penerbit Alfabeta: Bandung.
Ghozali, I. (2011). Aplikasi analisis multivariate dengan program SPSS. Universitas Diponegoro: Semarang.
Hidayat, A. (2013). Memilih transformasi data dengan STATA. Statistikian.Com. https://www.statistikian.com/2013/03/memilih-transformasi-data-dengan-stata.html
Hikmah, M., & Wibowo, B. (2020). Determinan risiko sistemik perbankan Indonesia: Aplikasi metode marginal expected shortfall. Jurnal Ekonomi Dan Bisnis, 23(1), 19–36. https://doi.org/10.24914/jeb.v23i1.2475
Hoechle, D. (2007). Robust standard errors for panel regressions with cross-sectional dependence. Stata Journal, 7(3), 281–312. https://doi.org/10.1177/1536867x0700700301
Juliani, M. (2022). Analisis faktor spesifik bank terhadap non performing loan pada bank umum konvensional yang terdaftar di Bursa Efek Indonesia. Owner, 6(1), 43–55. https://doi.org/10.33395/owner.v6i1.569
Kolapo, T.F., Ayeni, R.K., & Oke, M.O. (2012). Credit risk and commercial banks’ performance in Nigeria: A panel model approach. Australian Journal of Business and Management Research, 2(02), 31–38.
Kumaralita, P.W., & Purwanto, A. (2019). Analisis pengaruh risiko kredit terhadap profitabilitas (Studi pada perusahaan perbankan yang terdaftar di Bursa Efek Indonesia periode 2014-2017. Diponegoro Journal of Accounting, 8(1), 1–13.
Laeven, L., & Levine, R. (2007). Is there a diversification discount in financial conglomerates? Journal of Financial Economics, 85(2), 331–367. https://doi.org/10.1016/j.jfineco.2005.06.001
Lailaa, N., & Kurniawati, E.P. (2018). Penyaluran kredit usaha rakyat bagi kinerja bank pembangunan daerah. Jurnal Ekonomi Dan Bisnis, 21(1), 23–42. https://doi.org/10.24914/jeb.v21i1.633
Liu, Y., Brahma, S., & Boateng, A. (2019). Impact of ownership structure and ownership concentration on credit risk of Chinese commercial banks. International Journal of Managerial Finance, 16(2), 253–272. https://doi.org/10.1108/IJMF-03-2019-0094
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Nainggolan, R. (2020). Efisiensi teknis bank di Indonesia: Kelompok BUKU I-IV. Jurnal Muara Ilmu Ekonomi Dan Bisnis, 4(2), 274–284. https://doi.org/10.24912/jmieb.v4i2.7988
Natalia, P. (2015). Analisis pengaruh risiko kredit, risiko pasar, efisiensi operasi, modal, dan likuiditas terhadap kinerja keuangan perbankan (Studi kasus pada bank usaha milik negara yang terdaftar di BEI periode 2009-2012). Jurnal Ekonomi, Manajemen Dan Perbankan, 1(2), 62–73. https://doi.org/10.35384/jemp.v1i2.37
Nurwahjuni, N., & Shomad, A. (2016). Four eyes principle dalam pengelolaan risiko kredit pada bank. Yuridika, 31(2), 273–296. https://doi.org/10.20473/ydk.v31i2.4844
Otoritas Jasa Keuangan. (2016). Peraturan Otoritas Jasa Keuangan nomor 6 /POJK.03/2016 tentang kegiatan usaha dan jaringan kantor berdasarkan modal inti bank.
Otoritas Jasa Keuangan. (2018). Statistik Perbankan Indonesia - Desember 2018.
Otoritas Jasa Keuangan. (2020). Laporan tahunan 2019 Otoritas Jasa Keuangan: Kolaborasi membangun optimisme dan akselerasi pertumbuhan berkelanjutan.
Prasetyo, D.A., & Darmayanti, N.P.A. (2015). Pengaruh risiko kredit, likuiditas, kecukupan modal, dan efisiensi operasional terhadap profitabilitas pada PT BPD Bali. E-Jurnal Manajemen Universitas Udayana, 4(9), 2590–2617.
Prastiwi, I. E., & Anik, A. (2020). The impact of credit diversification on credit risk and performance of Indonesian banks. Global Review of Islamic Economics and Business, 8(1), 13–21. https://doi.org/10.14421/grieb.2020.081-02
Pratiwi, L.P.S. W., & Wiagustini, N.L.P. (2015). Pengaruh CAR, BOPO, NPL dan LDR terhadap profitabilitas. E-Jurnal Manajemen Universitas Udayana, 5(4), 2137–21668.
Republik Indonesia. (1998). Undang-Undang Republik Indonesia nomor 10 tahun 1998 tentang perubahan atas Undang-Undang nomor 7 tahun 1992 tentang perbankan.
Rossi, S.P.S., Schwaiger, M. S., & Winkler, G. (2009). How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks. Journal of Banking and Finance, 33(12), 2218–2226. https://doi.org/10.1016/j.jbankfin.2009.05.022
Sari, N., & Abundanti, N. (2016). Pengaruh DPK, ROA, inflasi dan suku bunga SBI terhadap penyaluran kredit pada bank umum. E-Jurnal Manajemen Universitas Udayana, 5(11), 7156–7184.
Saunders, A., & Walter, I. (2011). Financial architecture, systemic risk, and universal banking. Financial Markets and Portfolio Management, 26(1), 39–59.
Sofiana, H.P., & Widodo, H. (2018). Penerapan analisis portofolio saham dalam rangka optimalisasi return dan minimlisasi risiko pada perusahaan blue chips. BISMA (Bisnis Dan Manajemen), 1(2), 103–118. https://doi.org/10.26740/bisma.v1n2.p103-118
Tabak, B.M., Fazio, D. M., & Cajueiro, D. O. (2011). The effects of loan portfolio concentration on Brazilian banks’ return and risk. Journal of Banking & Finance, 35(11), 3065–3076. https://doi.org/10.1016/j.jbankfin.2011.04.006
Vivin, Y.A., & Wahono, B. (2015). Analisis perbandingan kinerja keuangan bank umum syariah dengan bank umum konvensional di Indonesia. Jurnal Ilmiah Riset Manajemen, 6(8), 77–97. https://doi.org/10.1123/ijsb.8.1.1
Widyatini, I.R. (2016). Pengaruh diversifikasi portofolio kredit terhadap tingkat risiko kredit dengan good corporate governance sebagai variabel pemoderasi (Studi pada bank umum di Indonesia). MODUS, 27(2), 109–123. https://doi.org/10.24002/modus.v27i2.551
Winton, A. (1999). Don’t put all your eggs in one basket? Diversification and specialization in lending. SSRN Electronic Journal, 612. https://doi.org/10.2139/ssrn.173615
Agustiningrum, R. (2013). Analisis pengaruh CAR, NPL, dan LDR terhadap profitabilitas pada perusahaan perbankan.
E-Jurnal Manajemen Universitas Udayana, 2(8), 885–902.
Al-kayed, L.T., & Aliani, K.C. (2020). Effects of focus versus diversification on bank risk and return: Evidence from Islamic banks’ loan portfolios. Journal of Islamic Accounting and Business Research, 11(9), 2155–2168. https://doi.org/10.1108/JIABR-10-2019-0192
Asnel, R.S., Anggraeni, L., & Rifin, A. (2020). Optimalisasi portofolio kredit untuk perencanaan ekspansi kredit pada perbankan nasional. Jurnal Aplikasi Bisnis Dan Manajemen, 6(2), 269–280. https://doi.org/10.17358/jabm.6.2.269
Atahau, A.D.R. (2016). Loan portfolio composition and performance of Indonesian banks: Does ownership matter? Jurnal Keuangan Dan Perbankan, 20(2), 292–313. https://doi.org/10.26905/jkdp.v20i2.361
Atahau, A.D.R., & Cronje, T. (2014). Loan portfolio structure and performance of government-owned banks in Indonesia: Does size matter? Corporate Ownership and Control, 11(4), 379–390. https://doi.org/10.22495/cocv11i4c4p1
Atahau, A.D.R., & Cronje, T. (2019). Does focus strategy work? A study of bank loan portfolios in Indonesia. Journal of Asia Business Studies, 13(3), 450–471. https://doi.org/10.1108/JABS-11-2017-0202
Barus, A.C., & Lu, M. (2013). Pengaruh spread tingkat suku bunga dan rasio keuangan terhadap penyaluran kredit UMKM pada bank umum di Indonesia. Jurnal Wira Ekonomi Mikroskil, 3(1), 11–20.
Candradewi, N. (2008). Analisis posisi kredit per sektor ekonomi pada perbankan di Indonesia. In Universitas Diponegoro Semarang.
Chen, Y., Shi, Y., Wei, X., & Zhang, L. (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), 332–353. https://doi.org/10.3846/20294913.2014.915246
Chen, Y., Wei, X., & Zhang, L. (2013). A new measurement of sectoral concentration of credit portfolios. Procedia Computer Science, 17, 1231–1240. https://doi.org/10.1016/j.procs.2013.05.157
Christianti, A. (2011). Diversifikasi kredit terhadap profitabilitas kegagalan bank. Jurnal Keuangan Dan Perbankan, 15(3), 428–436. https://doi.org/10.26905/jkdp.v15i3.1035
Citrawati, J., & Ahmar, N. (2018). Klasifikasi “BUKU” (Bank Umum Kegiatan Usaha) dan determinan kinerja keuangan bank. Jurnal Riset Akuntansi & Perpajakan (JRAP), 5(2), 259–270. https://doi.org/10.35838/jrap.2018.005.02.22
Fadli, J.A. (2019). Should bank diversify their income and credit? Evidence from Indonesia banking industry. KINERJA, 23(1), 28–41. https://doi.org/10.24002/kinerja.v23i1.2124
Fadli, J.A., Sakti, I.M., & Jumono, S. (2021). Market power and bank liquidity risk: Implementations of Basel III using net stable funding ratio approach. Jurnal Keuangan Dan Perbankan, 25(2), 434–449. https://doi.org/10.26905/jkdp.v25i2.5525
Fahmi, I. (2016). Manajemen risiko. Penerbit Alfabeta: Bandung.
Ghozali, I. (2011). Aplikasi analisis multivariate dengan program SPSS. Universitas Diponegoro: Semarang.
Hidayat, A. (2013). Memilih transformasi data dengan STATA. Statistikian.Com. https://www.statistikian.com/2013/03/memilih-transformasi-data-dengan-stata.html
Hikmah, M., & Wibowo, B. (2020). Determinan risiko sistemik perbankan Indonesia: Aplikasi metode marginal expected shortfall. Jurnal Ekonomi Dan Bisnis, 23(1), 19–36. https://doi.org/10.24914/jeb.v23i1.2475
Hoechle, D. (2007). Robust standard errors for panel regressions with cross-sectional dependence. Stata Journal, 7(3), 281–312. https://doi.org/10.1177/1536867x0700700301
Juliani, M. (2022). Analisis faktor spesifik bank terhadap non performing loan pada bank umum konvensional yang terdaftar di Bursa Efek Indonesia. Owner, 6(1), 43–55. https://doi.org/10.33395/owner.v6i1.569
Kolapo, T.F., Ayeni, R.K., & Oke, M.O. (2012). Credit risk and commercial banks’ performance in Nigeria: A panel model approach. Australian Journal of Business and Management Research, 2(02), 31–38.
Kumaralita, P.W., & Purwanto, A. (2019). Analisis pengaruh risiko kredit terhadap profitabilitas (Studi pada perusahaan perbankan yang terdaftar di Bursa Efek Indonesia periode 2014-2017. Diponegoro Journal of Accounting, 8(1), 1–13.
Laeven, L., & Levine, R. (2007). Is there a diversification discount in financial conglomerates? Journal of Financial Economics, 85(2), 331–367. https://doi.org/10.1016/j.jfineco.2005.06.001
Lailaa, N., & Kurniawati, E.P. (2018). Penyaluran kredit usaha rakyat bagi kinerja bank pembangunan daerah. Jurnal Ekonomi Dan Bisnis, 21(1), 23–42. https://doi.org/10.24914/jeb.v21i1.633
Liu, Y., Brahma, S., & Boateng, A. (2019). Impact of ownership structure and ownership concentration on credit risk of Chinese commercial banks. International Journal of Managerial Finance, 16(2), 253–272. https://doi.org/10.1108/IJMF-03-2019-0094
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Nainggolan, R. (2020). Efisiensi teknis bank di Indonesia: Kelompok BUKU I-IV. Jurnal Muara Ilmu Ekonomi Dan Bisnis, 4(2), 274–284. https://doi.org/10.24912/jmieb.v4i2.7988
Natalia, P. (2015). Analisis pengaruh risiko kredit, risiko pasar, efisiensi operasi, modal, dan likuiditas terhadap kinerja keuangan perbankan (Studi kasus pada bank usaha milik negara yang terdaftar di BEI periode 2009-2012). Jurnal Ekonomi, Manajemen Dan Perbankan, 1(2), 62–73. https://doi.org/10.35384/jemp.v1i2.37
Nurwahjuni, N., & Shomad, A. (2016). Four eyes principle dalam pengelolaan risiko kredit pada bank. Yuridika, 31(2), 273–296. https://doi.org/10.20473/ydk.v31i2.4844
Otoritas Jasa Keuangan. (2016). Peraturan Otoritas Jasa Keuangan nomor 6 /POJK.03/2016 tentang kegiatan usaha dan jaringan kantor berdasarkan modal inti bank.
Otoritas Jasa Keuangan. (2018). Statistik Perbankan Indonesia - Desember 2018.
Otoritas Jasa Keuangan. (2020). Laporan tahunan 2019 Otoritas Jasa Keuangan: Kolaborasi membangun optimisme dan akselerasi pertumbuhan berkelanjutan.
Prasetyo, D.A., & Darmayanti, N.P.A. (2015). Pengaruh risiko kredit, likuiditas, kecukupan modal, dan efisiensi operasional terhadap profitabilitas pada PT BPD Bali. E-Jurnal Manajemen Universitas Udayana, 4(9), 2590–2617.
Prastiwi, I. E., & Anik, A. (2020). The impact of credit diversification on credit risk and performance of Indonesian banks. Global Review of Islamic Economics and Business, 8(1), 13–21. https://doi.org/10.14421/grieb.2020.081-02
Pratiwi, L.P.S. W., & Wiagustini, N.L.P. (2015). Pengaruh CAR, BOPO, NPL dan LDR terhadap profitabilitas. E-Jurnal Manajemen Universitas Udayana, 5(4), 2137–21668.
Republik Indonesia. (1998). Undang-Undang Republik Indonesia nomor 10 tahun 1998 tentang perubahan atas Undang-Undang nomor 7 tahun 1992 tentang perbankan.
Rossi, S.P.S., Schwaiger, M. S., & Winkler, G. (2009). How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks. Journal of Banking and Finance, 33(12), 2218–2226. https://doi.org/10.1016/j.jbankfin.2009.05.022
Sari, N., & Abundanti, N. (2016). Pengaruh DPK, ROA, inflasi dan suku bunga SBI terhadap penyaluran kredit pada bank umum. E-Jurnal Manajemen Universitas Udayana, 5(11), 7156–7184.
Saunders, A., & Walter, I. (2011). Financial architecture, systemic risk, and universal banking. Financial Markets and Portfolio Management, 26(1), 39–59.
Sofiana, H.P., & Widodo, H. (2018). Penerapan analisis portofolio saham dalam rangka optimalisasi return dan minimlisasi risiko pada perusahaan blue chips. BISMA (Bisnis Dan Manajemen), 1(2), 103–118. https://doi.org/10.26740/bisma.v1n2.p103-118
Tabak, B.M., Fazio, D. M., & Cajueiro, D. O. (2011). The effects of loan portfolio concentration on Brazilian banks’ return and risk. Journal of Banking & Finance, 35(11), 3065–3076. https://doi.org/10.1016/j.jbankfin.2011.04.006
Vivin, Y.A., & Wahono, B. (2015). Analisis perbandingan kinerja keuangan bank umum syariah dengan bank umum konvensional di Indonesia. Jurnal Ilmiah Riset Manajemen, 6(8), 77–97. https://doi.org/10.1123/ijsb.8.1.1
Widyatini, I.R. (2016). Pengaruh diversifikasi portofolio kredit terhadap tingkat risiko kredit dengan good corporate governance sebagai variabel pemoderasi (Studi pada bank umum di Indonesia). MODUS, 27(2), 109–123. https://doi.org/10.24002/modus.v27i2.551
Winton, A. (1999). Don’t put all your eggs in one basket? Diversification and specialization in lending. SSRN Electronic Journal, 612. https://doi.org/10.2139/ssrn.173615
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2022-07-08
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