Evaluasi Metode Pembobotan Sistemic Important Score (SIS) di Indonesia

Authors

DOI:

https://doi.org/10.31685/kek.v3i3.512

Keywords:

bobot seimbang, eigenvectors, principal component analysis (PCA), systemically important bank (SIB), systemic importance score (SIS)

Abstract

Penetapan Systemically Important Bank (SIB) bertujuan untuk mengidentifikasi bank-bank yang berpotensi sistemik terhadap sistem keuangan apabila mengalami kegagalan. Otoritas Jasa Keuangan (OJK) menetapkan bobot seimbang (equal weight) untuk ketiga indikator SIB (size, interconnectedness dan complexity) dan sub-indikatornya. Penelitian ini bertujuan untuk membandingkan kinerja metode pembobotan resmi dengan pembobotan alternatif berdasarkan Principal Component Analysis (PCA) dengan satu dan dua PC pertama dalam perhitungan Systemic Importance Score (SIS) yang menjadi dasar penetapan bucket (kelompok) SIB. Hasil simulasi terhadap enam kelompok perbankan menunjukkan bahwa metode pembobotan PCA satu PC pertama merupakan metode terbaik berdasarkan indikator nilai korelasi antara SIS dengan indikator dan sub-indikator penyusunnya.

Author Biography

  • Samsul Anwar, Universitas Syiah Kuala
    Department of Statistics

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Published

2019-12-31

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Vol. 3 No. 3 (2019)

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