Muharam, Harjum
(2012)
MODEL RISIKO KREDIT: PENDEKATAN DAN FAKTOR-FAKTOR YANG
MEMPENGARUHINYA.
Seminar Nasional dan Call for Papers.
ISSN 978-979-3649-65-8
Abstract
Credit risk associated with the probability that a firm has failed to pay its loan, ability
to meet its liabilities, and losses that occur if the condition occurs. The main issue in credit risk
management is how to measure risk. That requires a credit risk measurement models are
accurate and can be applied by banks and those in need. Credit risk models have been
developed with different approaches in order to obtain the best model. Credit risk models can
be grouped into two, the traditional model and structural model. The traditional model is the
model adopted in the fundamental analysis approach to determine the factors that affect credit
risk. Structural model was developed by adopting the contingency analysis approach, where
credit risk is seen as a relationship between liabilities with assets that company owned.
Determinant of credit risk is the fundamental performance of the company which consists of
cash flow, profitability, leverage, and asset size. Macroeconomic performance and the
performance of industry also affect the credit risk. Past performance (lag) of three groups of
determinants also affect the credit risk
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