LUSITA, RICKA SYLVIA (2017) ANALISIS RISIKO SISTEMIK SISTEM PERBANKAN NASIONAL. S2 thesis, Universitas Mercu Buana Jakarta - Menteng.
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Abstract
Penelitian ini bertujuan untuk mengetahui besaran risiko sistemik perbankan nasional, kontribusi risiko sistemik masing-masing bank, dan hubungan sistemik antara masing-masing bank terhadap bank lainnya. Data penelitian yang digunakan adalah data harian saham perbankan yang sudah go public selama periode 2008 hingga 2015. Metode yang digunakan untuk menghitung risiko sistemik adalah menggunakan PCA (Principal Component Analysis) dan untuk mengetahui hubungan sistemik antar bank digunakan Granger Causality Test. Hasil penelitian yang diperoleh adalah kecenderungan nilai risiko sistemik yang kian meningkat dari tahun 2008 hingga 2015. Bank-bank besar milik pemerintah dalam perkembangannya dari tahun 2008 hingga 2015 selalu memberikan kontribusi risiko sistemik yang cukup besar terhadap risiko sistemik sistem perbankan nasional. Selama periode penelitian bank yang saling berinteraksi dan berhubungan sistemik dengan bank lainnya berjumlah lebih dari 50 perusahaan perbankan yang saling berinteraksi. Kata kunci : Risiko Sistemik, PCA (Principal Component Analysis), Granger Causality Test. This study aims to determine the value of the systemic risk of the national banking system, systemic risk contribution of each bank, and systemic relationship between each bank to other banks. Research data used are daily data bank shares from 2008 to 2015. The method used to calculate the systemic risk is to use PCA (Principal Compnent Analysis) and to determine the relationship between banks systemic use Granger Causality Test. The result isi a tendency of systemic risk value increasing from 2008 to 2015, big banks owned by the government always gives a high systemic risk contribution. Banks that interact and have a systemic relationship with other banks amounted to more than 50 banks. Keywords : Systemic Risk, PCA (Principal Component Analysis), Granger Causality Test.
| Item Type: | Thesis (S2) |
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| Call Number CD: | CDT-551-17-042 |
| NIM/NIDN Creators: | 55113110005 |
| Uncontrolled Keywords: | Risiko Sistemik, PCA (Principal Component Analysis), Granger Causality Test. Systemic Risk, PCA (Principal Component Analysis), Granger Causality Test. MKU, manajemen keuangan |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | UMMI RAHMATUSSYIFA |
| Date Deposited: | 29 Mar 2022 05:41 |
| Last Modified: | 21 Jun 2022 04:20 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/59002 |
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