BAB V PENUTUP
B. Saran
Adapun saran yang bisa diberikan setelah melakukan penelitian ini antara lain:
1. Pihak bank syariah
Agar pihak manajemen perbankan syariah terus melakukan peningkatan
kualitas manajemen risiko pembiayaan yang ada sehingg dapat mengantisipasi risiko-risiko yang akan muncul dalam menjalankan kegiatan operasionalnya. Juga perbankan sangat penting dalam melakukan pengelolaan aset produktifnya dengan menggunakan pendekatan yang lebih baik sehingga return dari pemanfaatan aset produktif dapat meningkat.
2. Penelitian berikutnya.
Agar penelitian selanjutnya disarankan untuk meneliti pengaruh tingkat risiko pembiayaan berskim lain yang ada pada perbankan syariah dengan
menggunakan VaR. Untuk mengatahui pengaruh nilai VaR produk pembiayaan berskim lain terhadap profiabilitas perbankan syariah.
DAFTAR PUSTAKA
Al Arif, M. Nur Rianto dan Yuke Rahmawati, Manajemen Risiko Perbankan Syariah, Jakarta: UIN Press, 2015.
Antonio, Muhammad Syafi‟i, Bank Syariah dari Teori ke Praktik, Jakarta: Gema Insani
Press, 2004.
Arafat, Wilson, Manajemen Perbankan Indonesia, Jakarta: Pustaka LP3ES Indonesia, 2006.
Arifin, Zainul, Dasar-Dasar Manajemen Bank Syariah, Jakarta: Pustaka Alvabet, 2006. financetrainingcourse.com di akses pada tanggal; 26 Februari 2016
Handayani, Floury, Pengukuran Risiko Pembiayaan Perbankan Syariah Indonesia (Pendekatan Value at Risk), 2013
Hidayati, Lina Nur, Mengukur Risiko Perbankan Dengan VaR (Value at Risk) dalam Jurnal Ilmu Manajemen, 2013
Huda, Nurul dan Mohammad Heykal, Lembaga Keuangan Islam: Tinjauan Teoretis dan Praktis, Jakarta: Kencana, 2010.
Idroes, Ferry N, Manajemen Risiko Perbankan: Pemahaman Pendekatan 3 Pilar Kesepakatan Bassel II Terkait Aplikasi Regulasi dan Pelaksanaannya di Indonesia, Jakarta: Rajawali Pers, 2011.
Ihsan, Dwi Nurul, Analisis Laporan Keuangan Perbankan Syariah, Tangerang Selatan: UIN Jakarta Press, 2013.
Ikatan Bankir Indonesia (IBI), Mengelola Bisnis Pembiayaan Bank Syariah, Jakarta: Gramedia, 2005.
Ismail, Perbankan Syariah, Jakarta: Kencana, 2011.
Johannes, Supranto dan Muhammad Hakim, Pengambilan Risiko Secara Strategis bagi pengambilan Keputusan Bisnis, Jakarta:Rajawali Pers, 2013.
Pedoman Akuntansi Perbankan Syariah Indonesia tahun 2014.
Prabowo, Yudho, Analisis Resiko dan Pengembalian Hasil pada Perbankan Syariah: Aplikasi Metode VaR dan RAROC pada Bank Syariah Mandiri, La Riba Jurnal Ekonomi Islam, 2009.
Pransisca, Deby Novelia. (2014). Analisis Risiko Pembiayaan Mudharabah, Risiko Pembiayaan Musyarakah dan Profitabilitas Bank Syariah (Studi Kasus pasa PT.Bank Syariah Mandiri, Tbk 2004-2013)
Rosdiana, Manajemen Risiko Pembiayaan Berprinsip Bagi Hasil Pada Bank Syariah Mandiri, [Skripsi]. Jakarta: UIN Syarif Hidayatullah Jakarta
Taswan, Akuntansi Perbankan Transaksi dalam Valuta Rupiah, Semarang: UPP AMP IKPN, 2003.
Undang-Undang Republik Indonesia Nomor 21 Tahun 2008 Tentang Perbankan Syariah
Wangasawijaya, A, Pembiayaan Bank Syariah, Jakarta: Gramedia, 2012.
Wirdyaningsih dkk, Bank dan Asuransi Islam di Indonesia, Jakarta: Kencana, 2005
www.investopedia.com di akses pada tanggal 26 Februari 2016 www.value-at-risk.net di akses pada tanggal 26 Februari 2016
www.ojk.go.id diakses pada tanggal 16 Januari 2016
Yaya, Rizal, Aji Erlangga Martawireja, dan Ahim Abdurahim, Akuntansi Perbankan Syariah: Teori dan Praktik Kontemporer, Jakarta: Salemba Empat, 2014.
LAMPIRAN
Lampiran 1. Hasil Output ADF-Test Return Pembiayaan Mudharabah
Null Hypothesis: RETURN_MUDHARABAH has a unit root Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -8.012581 0.0000
Test critical values: 1% level -3.546099
5% level -2.911730
10% level -2.593551
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RETURN_MUDHARABAH) Method: Least Squares
Date: 09/03/16 Time: 19:35 Sample (adjusted): 2 60
Included observations: 59 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RETURN_MUDHARA
BAH(-1) -1.059862 0.132275 -8.012581 0.0000
C -0.001836 0.012124 -0.151427 0.8802
R-squared 0.529709 Mean dependent var 0.000325
Adjusted R-squared 0.521458 S.D. dependent var 0.134591
S.E. of regression 0.093105 Akaike info criterion -1.876857
Sum squared resid 0.494112 Schwarz criterion -1.806432
Log likelihood 57.36729 Hannan-Quinn criter. -1.849366
F-statistic 64.20146 Durbin-Watson stat 2.011735
Lampiran 2. Hasil Output ADF-Test Return Pembiayaan Musyarakah
Null Hypothesis: RETURN_MUSYARAKAH has a unit root Exogenous: Constant
Lag Length: 1 (Automatic - based on SIC, maxlag=10)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -9.539189 0.0000
Test critical values: 1% level -3.548208
5% level -2.912631
10% level -2.594027
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(RETURN_MUSYARAKAH) Method: Least Squares
Date: 09/03/16 Time: 19:37 Sample (adjusted): 3 60
Included observations: 58 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
RETURN_MUSYARAKA
H(-1) -1.966233 0.206122 -9.539189 0.0000
D(RETURN_MUSYARA
KAH(-1)) 0.406076 0.123251 3.294717 0.0017
C -0.002920 0.006155 -0.474416 0.6371
R-squared 0.748714 Mean dependent var 5.56E-05
Adjusted R-squared 0.739576 S.D. dependent var 0.091742
S.E. of regression 0.046818 Akaike info criterion -3.234779
Sum squared resid 0.120554 Schwarz criterion -3.128204
Log likelihood 96.80859 Hannan-Quinn criter. -3.193266
F-statistic 81.93712 Durbin-Watson stat 2.057043
Lampiran 3. Perhitungan Value at Risk (VaR) Mudharabah
Equivalent
Rate Return
Decay
Factor (Ri-Rt)^2 DF^(t-1) E*F Variance Actual Error Error^2
VaR
Mean VaR Zero VaR% Eksposure
Bulan/tahun
Jan-11 17,19 0,99 371,19 (1469) 4,34 8560
Feb-11 17,14 -0,00291 59 1,427E-06 5,583E-01 7,968E-07 8,46E-06 -7,66E-06 5,87E-11 373,18 (1472) 4,34 8606 Mar-11 16,93 -0,01225 58 1,111E-04 5,639E-01 6,262E-05 1,50E-04 -8,75E-05 7,65E-09 380,16 (1476) 4,34 8767 Apr-11 16,99 0,00354 57 2,765E-05 5,696E-01 1,575E-05 1,26E-05 3,19E-06 1,02E-11 383,46 (1495) 4,34 8843 Mei-11 16,75 -0,01413 56 1,541E-04 5,754E-01 8,864E-05 2,00E-04 -1,11E-04 1,23E-08 393,60 (1508) 4,34 9077 Jun-11 16,45 -0,01791 55 2,623E-04 5,812E-01 1,525E-04 3,21E-04 -1,68E-04 2,83E-08 414,07 (1550) 4,34 9549 Jul-11 16,15 -0,01824 54 2,730E-04 5,870E-01 1,603E-04 3,33E-04 -1,72E-04 2,97E-08 423,48 (1549) 4,34 9766 Agust-11 16,24 0,00557 53 5,310E-05 5,930E-01 3,148E-05 3,11E-05 4,29E-07 1,84E-13 433,15 (1596) 4,34 9989 Sep-11 16,61 0,02278 52 6,001E-04 5,990E-01 3,594E-04 5,19E-04 -1,60E-04 2,55E-08 434,50 (1647) 4,34 10020 Okt-11 16,25 -0,02167 51 3,984E-04 6,050E-01 2,410E-04 4,70E-04 -2,29E-04 5,23E-08 440,13 (1623) 4,34 10150 Nop-11 16,16 -0,00554 50 1,463E-05 6,111E-01 8,939E-06 3,07E-05 -2,17E-05 4,72E-10 442,43 (1620) 4,34 10203 Des-11 16,05 -0,00681 49 2,594E-05 6,173E-01 1,601E-05 4,63E-05 -3,03E-05 9,19E-10 443,56 (1610) 4,34 10229
Jan-12
15,99 -0,00374 48
4,098E-06 6,235E-01 2,555E-06 1,40E-05 -1,14E-05 1,30E-10 439,40 (1587) 4,34 10133 Feb-12 16,06 0,00438 47 3,711E-05 6,298E-01 2,337E-05 1,92E-05 4,21E-06 1,77E-11 438,92 (1594) 4,34 10122 Mar-12 16,03 -0,00187 46 2,372E-08 6,362E-01 1,509E-08 3,49E-06 -3,47E-06 1,21E-11 435,32 (1577) 4,34 10039 Apr-12 15,88 -0,00936 45 5,842E-05 6,426E-01 3,754E-05 8,76E-05 -5,00E-05 2,50E-09 448,76 (1607) 4,34 10349 Mei-12 15,82 -0,00378 44 4,262E-06 6,491E-01 2,766E-06 1,43E-05 -1,15E-05 1,32E-10 454,53 (1619) 4,34 10482 Jun-12 16,02 0,01264 43 2,061E-04 6,557E-01 1,351E-04 1,60E-04 -2,47E-05 6,10E-10 472,83 (1712) 4,34 10904
Jul-12 15,76 -0,01623 42 2,107E-04 6,623E-01 1,395E-04 2,63E-04 -1,24E-04 1,53E-08 477,99 (1695) 4,34 11023 Agust-12 16,08 0,02030 41 4,848E-04 6,690E-01 3,243E-04 4,12E-04 -8,79E-05 7,73E-09 484,80 (1763) 4,34 11180 Sep-12 15,94 -0,00871 40 4,889E-05 6,757E-01 3,304E-05 7,58E-05 -4,28E-05 1,83E-09 492,56 (1772) 4,34 11359 Okt-12 15,95 0,00063 39 5,482E-06 6,826E-01 3,742E-06 3,94E-07 3,35E-06 1,12E-11 495,98 (1786) 4,34 11438 Nop-12 15,72 -0,01442 38 1,614E-04 6,894E-01 1,113E-04 2,08E-04 -9,66E-05 9,34E-09 499,84 (1766) 4,34 11527 Des-12 14,90 -0,05216 37 2,545E-03 6,964E-01 1,772E-03 2,72E-03 -9,49E-04 9,00E-07 521,35 (1719) 4,34 12023 Jan-13 16,10 0,08054 36 6,765E-03 7,034E-01 4,759E-03 6,49E-03 -1,73E-03 2,98E-06 521,52 (1900) 4,34 12027 Feb-13 15,78 -0,01988 35 3,299E-04 7,106E-01 2,344E-04 3,95E-04 -1,61E-04 2,58E-08 522,78 (1856) 4,34 12056 Mar-13 15,77 -0,00063 34 1,167E-06 7,177E-01 8,376E-07 4,02E-07 4,36E-07 1,90E-13 524,78 (1862) 4,34 12102 Apr-13 15,61 -0,01015 33 7,110E-05 7,250E-01 5,154E-05 1,03E-04 -5,14E-05 2,64E-09 521,48 (1826) 4,34 12026 Mei-13 15,49 -0,00769 32 3,568E-05 7,323E-01 2,613E-05 5,91E-05 -3,30E-05 1,09E-09 527,64 (1830) 4,34 12168 Jun-13 14,93 -0,03615 31 1,186E-03 7,397E-01 8,773E-04 1,31E-03 -4,30E-04 1,85E-07 547,63 (1810) 4,34 12629 Jul-13 16,03 0,07368 30 5,684E-03 7,472E-01 4,247E-03 5,43E-03 -1,18E-03 1,40E-06 575,90 (2087) 4,34 13281 Agust-13 15,35 -0,04242 29 1,657E-03 7,547E-01 1,251E-03 1,80E-03 -5,49E-04 3,01E-07 576,68 (1976) 4,34 13299 Sep-13 15,04 -0,02020 28 3,416E-04 7,623E-01 2,604E-04 4,08E-04 -1,47E-04 2,17E-08 579,50 (1934) 4,34 13364 Okt-13 15,19 0,00997 27 1,366E-04 7,700E-01 1,052E-04 9,95E-05 5,72E-06 3,27E-11 592,51 (2003) 4,34 13664 Nop-13 14,55 -0,04213 26 1,634E-03 7,778E-01 1,271E-03 1,78E-03 -5,04E-04 2,54E-07 601,79 (1924) 4,34 13878 Des-13 14,40 -0,01031 25 7,388E-05 7,857E-01 5,805E-05 1,06E-04 -4,82E-05 2,33E-09 590,82 (1863) 4,34 13625 Jan-14 14,42 0,00139 24 9,628E-06 7,936E-01 7,641E-06 1,93E-06 5,71E-06 3,26E-11 577,68 (1825) 4,34 13322 Feb-14 14,35 -0,00485 23 9,862E-06 8,016E-01 7,906E-06 2,36E-05 -1,57E-05 2,45E-10 576,73 (1810) 4,34 13300 Mar-14 14,29 -0,00418 22 6,087E-06 8,097E-01 4,929E-06 1,75E-05 -1,26E-05 1,58E-10 585,31 (1827) 4,34 13498 Apr-14 14,13 -0,01120 21 8,992E-05 8,179E-01 7,355E-05 1,25E-04 -5,18E-05 2,69E-09 598,49 (1841) 4,34 13802
Mei-14 21,32 0,50885 20 2,607E-01 8,262E-01 2,154E-01 2,59E-01 -4,36E-02 1,90E-03 601,40 (3096) 4,34 13869 Jun-14 21,87 0,02580 19 7,569E-04 8,345E-01 6,316E-04 6,66E-04 -3,39E-05 1,15E-09 620,61 (3294) 4,34 14312 Jul-14 18,23 -0,16644 18 2,713E-02 8,429E-01 2,287E-02 2,77E-02 -4,83E-03 2,33E-05 631,32 (2688) 4,34 14559 Agust-14 21,37 0,17224 17 3,026E-02 8,515E-01 2,577E-02 2,97E-02 -3,90E-03 1,52E-05 619,09 (3196) 4,34 14277 Sep-14 20,75 -0,02901 16 7,452E-04 8,601E-01 6,409E-04 8,42E-04 -2,01E-04 4,03E-08 622,52 (3103) 4,34 14356 Okt-14 22,11 0,06554 15 4,523E-03 8,687E-01 3,930E-03 4,30E-03 -3,66E-04 1,34E-07 623,17 (3350) 4,34 14371 Nop-14 21,18 -0,04206 14 1,628E-03 8,775E-01 1,429E-03 1,77E-03 -3,41E-04 1,16E-07 620,39 (3169) 4,34 14307 Des-14 20,69 -0,02314 13 4,589E-04 8,864E-01 4,067E-04 5,35E-04 -1,29E-04 1,65E-08 622,43 (3092) 4,34 14354 Jan-15 12,92 -0,37554 12 1,397E-01 8,953E-01 1,251E-01 1,41E-01 -1,59E-02 2,53E-04 616,06 (1680) 4,34 14207 Feb-15 12,67 -0,01935 11 3,110E-04 9,044E-01 2,813E-04 3,74E-04 -9,31E-05 8,67E-09 613,45 (1628) 4,34 14147 Mar-15 12,63 -0,00316 10 2,082E-06 9,135E-01 1,902E-06 9,97E-06 -8,06E-06 6,50E-11 612,98 (1620) 4,34 14136 Apr-15 12,67 0,00317 9 2,382E-05 9,227E-01 2,198E-05 1,00E-05 1,20E-05 1,43E-10 623,90 (1656) 4,34 14388 Mei-15 12,06 -0,04815 8 2,156E-03 9,321E-01 2,009E-03 2,32E-03 -3,09E-04 9,52E-08 646,37 (1602) 4,34 14906 Jun-15 12,10 0,00332 7 2,531E-05 9,415E-01 2,383E-05 1,10E-05 1,28E-05 1,65E-10 679,37 (1692) 4,34 15667 Jul-15 12,13 0,00248 6 1,758E-05 9,510E-01 1,672E-05 6,15E-06 1,06E-05 1,12E-10 682,05 (1704) 4,34 15729 Agust-15 11,64 -0,04040 5 1,496E-03 9,606E-01 1,437E-03 1,63E-03 -1,94E-04 3,78E-08 679,76 (1602) 4,34 15676 Sep-15 11,64 0,00017 4 3,556E-06 9,703E-01 3,451E-06 2,95E-08 3,42E-06 1,17E-11 656,69 (1548) 4,34 15144 Okt-15 12,10 0,03934 3 1,685E-03 9,801E-01 1,652E-03 1,55E-03 1,04E-04 1,09E-08 647,19 (1611) 4,34 14925 Nop-15 11,98 -0,00992 2 6,730E-05 9,900E-01 6,662E-05 9,84E-05 -3,17E-05 1,01E-09 636,57 (1563) 4,34 14680 Des-15 12,21 0,01920 1 4,373E-04 1,000E+00 4,373E-04 3,69E-04 6,88E-05 4,73E-09 642,64 (1621) 4,34 14820
Rata-rata 15,74603333 -0,001714 3,723E-05 538,57 -1891,67 4,3362801 12420,15 RMSE 0,00610141
Keterangan 2011 2012 2013 2014 2015 Variance 0,00419067 Std. Deviasi σ 0,004 0,006 0,010 0,053 0,008 alpha 2,32 Ao (Exposure) 9479,917 10881,583 12843,250 14027,250 9479,917 St dv 0,064735
VaR (Mean) 25,706 42,913 85,993 500,713 25,706 Exposure 12420,15 VaR (Zero) -97,627 -97,627 -297,214 -2179,637 -97,627 VaR Mean 540,68854 VaR (Mean)% 0,271 0,394 0,670 3,570 0,271 VaR Mean % 4,3533%
VaR (Zero)% -1,030 -0,897 -2,314 -15,539 -1,030 VaR Zero -1908,2879
Lampiran 4. Tabel Perhitungan Value at Risk (VaR) Musyarakah Bulan /tahun Equivalent Rate Return Decay Factor (Ri-Rt)^2 DF^(t-1) E*F Actual Variance
Error Error^2 VaR Mean
VaR
Zero VaR% Eksposure
Jan-11 13,96 0,99 346 (1048) 14600
Feb-11 14,01 0,0036 59 0,000025 0,558 0,00001 1,28E-05 8,57E-07 7,34E-13 348 (1058) 2,369 14677 Mar-11 14,43 0,0300 58 0,000983 0,564 0,00055 8,99E-04 -3,45E-04 1,19E-07 355 (1124) 2,369 14988 Apr-11 14,15 -0,0194 57 0,000325 0,570 0,00019 3,77E-04 -1,91E-04 3,66E-08 357 (1100) 2,369 15057 Mei-11 14,33 0,0127 56 0,000199 0,575 0,00011 1,62E-04 -4,76E-05 2,26E-09 365 (1144) 2,369 15396 Jun-11 14,41 0,0056 55 0,000048 0,581 0,00003 3,12E-05 -3,08E-06 9,47E-12 386 (1219) 2,369 16295 Jul-11 14,23 -0,0125 54 0,000124 0,587 0,00007 1,56E-04 -8,34E-05 6,96E-09 389 (1209) 2,369 16421 Agust-11 14,18 -0,0035 53 0,000005 0,593 0,00000 1,23E-05 -9,62E-06 9,25E-11 406 (1255) 2,369 17131 Sep-11 13,81 -0,0261 52 0,000611 0,599 0,00037 6,81E-04 -3,15E-04 9,91E-08 412 (1229) 2,369 17379 Okt-11 13,75 -0,0043 51 0,000009 0,605 0,00001 1,89E-05 -1,35E-05 1,83E-10 421 (1250) 2,369 17769 Nop-11 13,48 -0,0196 50 0,000334 0,611 0,00020 3,86E-04 -1,82E-04 3,30E-08 431 (1247) 2,369 18209 Des-11 13,64 0,0119 49 0,000175 0,617 0,00011 1,41E-04 -3,27E-05 1,07E-09 449 (1319) 2,369 18960 Jan-12 13,76 0,0088 48 0,000103 0,624 0,00006 7,74E-05 -1,29E-05 1,68E-10 444 (1321) 2,369 18759 Feb-12 13,59 -0,0124 47 0,000121 0,630 0,00008 1,53E-04 -7,66E-05 5,87E-09 455 (1331) 2,369 19225 Mar-12 13,80 0,0155 46 0,000283 0,636 0,00018 2,39E-04 -5,88E-05 3,45E-09 462 (1378) 2,369 19503 Apr-12 13,82 0,0014 45 0,000008 0,643 0,00001 2,10E-06 3,01E-06 9,03E-12 483 (1444) 2,369 20396 Mei-12 13,81 -0,0007 44 0,000000 0,649 0,00000 5,24E-07 -2,53E-07 6,39E-14 504 (1505) 2,369 21275 Jun-12 13,65 -0,0116 43 0,000104 0,656 0,00007 1,34E-04 -6,58E-05 4,33E-09 528 (1553) 2,369 22298 Jul-12 13,70 0,0037 42 0,000025 0,662 0,00002 1,34E-05 3,36E-06 1,13E-11 529 (1562) 2,369 22322
Agust-12 13,80 0,0073 41 0,000075 0,669 0,00005 5,33E-05 -3,01E-06 9,05E-12 546 (1629) 2,369 23051 Sep-12 13,93 0,0094 40 0,000116 0,676 0,00008 8,87E-05 -1,01E-05 1,01E-10 580 (1752) 2,369 24481 Okt-12 13,68 -0,0179 39 0,000275 0,683 0,00019 3,22E-04 -1,35E-04 1,81E-08 597 (1761) 2,369 25207 Nop-12 13,70 0,0015 38 0,000008 0,689 0,00001 2,14E-06 3,39E-06 1,15E-11 620 (1833) 2,369 26187 Des-12 13,44 -0,0190 37 0,000310 0,696 0,00022 3,60E-04 -1,44E-04 2,08E-08 655 (1887) 2,369 27667 Jan-13 13,54 0,0074 36 0,000078 0,703 0,00005 5,54E-05 -7,63E-07 5,82E-13 666 (1935) 2,369 28092 Feb-13 13,45 -0,0066 35 0,000028 0,711 0,00002 4,42E-05 -2,44E-05 5,95E-10 685 (1973) 2,369 28896 Mar-13 13,13 -0,0238 34 0,000503 0,718 0,00036 5,66E-04 -2,05E-04 4,21E-08 731 (2039) 2,369 30857 Apr-13 12,97 -0,0122 33 0,000117 0,725 0,00008 1,48E-04 -6,37E-05 4,05E-09 765 (2098) 2,369 32288 Mei-13 12,25 -0,0555 32 0,002931 0,732 0,00215 3,08E-03 -9,35E-04 8,74E-07 799 (2027) 2,369 33743 Jun-13 12,32 0,0057 31 0,000050 0,740 0,00004 3,27E-05 4,46E-06 1,99E-11 83 (212) 2,369 3505 Jul-13 14,97 0,2151 30 0,046858 0,747 0,03501 4,63E-02 -1,13E-02 1,27E-04 853 (2832) 2,369 35997 Agust-13 14,31 -0,0441 29 0,001825 0,755 0,00138 1,94E-03 -5,66E-04 3,21E-07 850 (2661) 2,369 35883 Sep-13 12,74 -0,1097 28 0,011738 0,762 0,00895 1,20E-02 -3,09E-03 9,54E-06 870 (2328) 2,369 36715 Okt-13 12,80 0,0047 27 0,000037 0,770 0,00003 2,22E-05 6,28E-06 3,94E-11 898 (2420) 2,369 37921 Nop-13 12,67 -0,0102 26 0,000077 0,778 0,00006 1,03E-04 -4,31E-05 1,86E-09 916 (2435) 2,369 38680 Des-13 13,51 0,0663 25 0,004579 0,786 0,00360 4,40E-03 -7,98E-04 6,37E-07 945 (2739) 2,369 39874 Jan-14 12,57 -0,0696 24 0,004652 0,794 0,00369 4,84E-03 -1,15E-03 1,32E-06 916 (2408) 2,369 38685 Feb-14 12,64 0,0056 23 0,000048 0,802 0,00004 3,10E-05 7,58E-06 5,74E-11 930 (2463) 2,369 39254 Mar-14 14,79 0,1701 22 0,029400 0,810 0,02381 2,89E-02 -5,13E-03 2,63E-05 961 (3143) 2,369 40583 Apr-14 11,91 -0,1947 21 0,037387 0,818 0,03058 3,79E-02 -7,34E-03 5,39E-05 1015 (2473) 2,369 42830 Mei-14 13,28 0,1150 20 0,013549 0,826 0,01119 1,32E-02 -2,04E-03 4,15E-06 1044 (2957) 2,369 44055
Jun-14 13,48 0,0151 19 0,000270 0,835 0,00023 2,27E-04 -1,55E-06 2,39E-12 1081 (3126) 2,369 45648 Jul-14 12,67 -0,0601 18 0,003448 0,843 0,00291 3,61E-03 -7,04E-04 4,96E-07 1107 (2942) 2,369 46739 Agust-14 13,22 0,0434 17 0,002005 0,851 0,00171 1,88E-03 -1,77E-04 3,14E-08 1122 (3159) 2,369 47353 Sep-14 13,18 -0,0030 16 0,000003 0,860 0,00000 9,15E-06 -6,80E-06 4,62E-11 1152 (3229) 2,369 48611 Okt-14 13,49 0,0235 15 0,000620 0,869 0,00054 5,53E-04 -1,50E-05 2,26E-10 1152 (3333) 2,369 48627 Nop-14 13,46 -0,0022 14 0,000001 0,878 0,00000 4,95E-06 -4,30E-06 1,85E-11 1185 (3417) 2,369 50005 Des-14 13,61 0,0111 13 0,000157 0,886 0,00014 1,24E-04 1,46E-05 2,13E-10 1170 (3426) 2,369 49387 Jan-15 12,60 -0,0742 12 0,005306 0,895 0,00475 5,51E-03 -7,57E-04 5,73E-07 1170 (3084) 2,369 49369 Feb-15 12,72 0,0095 11 0,000119 0,904 0,00011 9,07E-05 1,66E-05 2,76E-10 1176 (3142) 2,369 49645 Mar-15 12,60 -0,0094 10 0,000065 0,914 0,00006 8,90E-05 -2,96E-05 8,75E-10 1224 (3228) 2,369 51686 Apr-15 12,49 -0,0087 9 0,000054 0,923 0,00005 7,62E-05 -2,62E-05 6,88E-10 1247 (3249) 2,369 52649 Mei-15 12,27 -0,0176 8 0,000264 0,932 0,00025 3,10E-04 -6,43E-05 4,13E-09 1280 (3253) 2,369 54032 Jun-15 12,30 0,0024 7 0,000015 0,941 0,00001 5,98E-06 7,72E-06 5,96E-11 1297 (3308) 2,369 54757 Jul-15 11,99 -0,0252 6 0,000568 0,951 0,00054 6,35E-04 -9,50E-05 9,02E-09 1287 (3167) 2,369 54322 Agust-15 12,02 0,0025 5 0,000015 0,961 0,00001 6,26E-06 8,14E-06 6,62E-11 1310 (3236) 2,369 55316 Sep-15 12,02 0,0001 4 0,000002 0,970 0,00000 6,92E-09 2,04E-06 4,16E-12 1353 (3342) 2,369 57128 Okt-15 11,74 -0,0234 3 0,000484 0,980 0,00047 5,46E-04 -7,18E-05 5,15E-09 1360 (3249) 2,369 57422 Nop-15 11,75 0,0009 2 0,000005 0,990 0,00000 7,26E-07 4,16E-06 1,73E-11 1383 (3308) 2,369 58391 Des-15 11,83 0,0068 1 0,000067 1,000 0,00007 4,64E-05 2,05E-05 4,21E-10 1438 (3473) 2,369 60713
TOTAL 796,351 -0,0808 0,13549 0,00022521 2046911
RATA-RATA 13,27251667 -0,0014 3,8171E-06 67111,8
Keterangan 2011 2012 2013 2014 2015 Variance 1,4E-03
Std. Deviasi σ 0,0052 0,004 0,02561 0,028 0,00373 alpha 2,23
Ao (Exposure) 16407 22531 31870,9 45148 54619,2 St dv 0,03681 VaR (Mean) 56,807 53,63 546,459 546,46 136,328 Exposure 67111,8 VaR (Zero) -173,83 -159 -1534,7 -2371 -344,78 VaR Mean 1590 VaR (Mean)% 0,3462 0,238 1,7146 1,2104 0,2496 VaR Mean % 0,0237 2,369 VaR (Zero)% -1,0595 -0,71 -4,81535 -5,251 -0,6312 VaR Zero -4501
Lampiran 5. Hasil Output SPSS 20 Warning # 849 in column 23. Text: in_ID
The LOCALE subcommand of the SET command has an invalid parameter. It could not be mapped to a valid backend locale.
REGRESSION
/MISSING LISTWISE
/STATISTICS COEFF OUTS R ANOVA COLLIN TOL /CRITERIA=PIN(.05) POUT(.10)
/NOORIGIN /DEPENDENT ROA
/METHOD=ENTER VaRMudharabah VaRMusyarakah /RESIDUALS DURBIN
/SAVE RESID.
Notes
Output Created 09-SEP-2016 15:36:53
Comments
Input
Active Dataset DataSet0 Filter <none>
Split File <none> N of Rows in Working Data
File 60
Missing Value Handling
Definition of Missing User-defined missing values are treated as missing.
Cases Used
Statistics are based on cases with no missing values for any variable used.
Syntax
REGRESSION /MISSING LISTWISE /STATISTICS COEFF OUTS R ANOVA COLLIN TOL /CRITERIA=PIN(.05) POUT(.10) /NOORIGIN /DEPENDENT ROA /METHOD=ENTER VaRMudharabah VaRMusyarakah /RESIDUALS DURBIN /SAVE RESID. Resources Processor Time 00:00:00,02 Elapsed Time 00:00:00,02
Memory Required 1644 bytes Additional Memory Required
Modified RES_1 Unstandardized Residual [DataSet0] Variables Entered/Removeda Model Variables Entered Variables Removed Method 1 VaRMusyarakah , VaRMudharaba hb . Enter
a. Dependent Variable: ROA b. All requested variables entered.
Model Summaryb
Model R R Square Adjusted R Square
Std. Error of the Estimate
Durbin-Watson
1 ,386a ,149 ,119 ,004175260 ,775
ANOVAa
Model Sum of Squares df Mean Square F Sig.
1
Regression ,000 2 ,000 4,992 ,010b
Residual ,001 57 ,000
Total ,001 59
a. Dependent Variable: ROA
b. Predictors: (Constant), VaRMusyarakah, VaRMudharabah
Coefficientsa
Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 (Constant) -,003 ,006 -,525 ,601 VaRMudharabah 3,867E-005 ,000 ,789 2,329 ,023 VaRMusyarakah -3,467E-005 ,000 -,997 -2,942 ,005 Coefficientsa
1
(Constant)
VaRMudharabah ,130 7,699
VaRMusyarakah ,130 7,699
a. Dependent Variable: ROA
Collinearity Diagnosticsa
Model Dimension Eigenvalue Condition Index Variance Proportions (Constant) VaRMudharaba h VaRMusyaraka h 1 1 2,912 1,000 ,00 ,00 ,00 2 ,086 5,826 ,04 ,00 ,14 3 ,002 35,760 ,96 1,00 ,86
a. Dependent Variable: ROA
Residuals Statisticsa
Minimum Maximum Mean Std. Deviation N Predicted Value ,00386769 ,01703727 ,00767485 ,001717480 60 Residual -,007228215 ,008206455 0E-9 ,004103883 60
Std. Residual -1,731 1,965 ,000 ,983 60
a. Dependent Variable: ROA
Heteroskedastisitas setelah di ln
Coefficientsa
Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 (Constant) 7,700 4,509 1,708 ,093 lnVaRmudhara -,824 ,923 -,205 -,893 ,376 lnVaRMusyarakah ,459 ,302 ,349 1,520 ,134