DAFTAR PUSTAKA. Ali, Drs. Masyhud, M.B.A., M.M Manajemen Risiko, PT Raja Grafindo Persada, Jakarta.

(1)

62 DAFTAR PUSTAKA

Al-Qur’an al-Karim. Terjemahan Departemen Agama Republik Indonesia.Jakarta.

Ali, Drs. Masyhud, M.B.A., M.M. 2006. Manajemen Risiko, PT Raja Grafindo

Persada, Jakarta.

Antonio, M. Syafe’i. 2001. Bank Syariah dari Teori ke Praktik, Gema Insani

Press, Jakarta.

Bessiss, Joel. 2002. Risk Management in Banking, 2

nd

Edition, John Wiley &

Sons, England.

Crouhy, David, etc. 2001. Risk Management, 2

nd

Edition, Mc Grawhill.

Credit Suisse First Boston.1997. CreditRisk+ : A Credit Risk Management

Framework.

Dewi, Vina Kharisma. 2005. Analisis Perhitungan Risiko Pembiayaan dengan

Menggunakan Pendekatan Internal dan Standar : Studi Kasus pada Bank

Syariah X, Universitas Indonesia, Jakarta.

Djazuli, H.A. dan Yadi Janwari. 2002. Lembaga-Lembaga Perekonomian Umat

(Sebuah Pengenalan), Rajawali Press, Jakarta.

Fitri, Yudha Septia. 2004. Analisis Perhitungan Risiko Kredit dengan Pendekatan

CreditRisk+ Portofolio (Studi Kasus Pembiayaan Murabahah Bai’

Bithaman Ajil pada BMT at-Taqwa), Universitas Indonesia, Jakarta.

Greuning, Henni Ven dan Sonja Brajovic Bratanovic. 2000. Analizing Banking

Risk, World Bank, Jakarta.

Hakim, Zainul. 2009. Evaluasi Tingginya Risiko Pembiayaan Murabahah

Dibandingkan Dengan Risiko Pembiayaan Bagi Hasil (Analisis Risiko

Dengan Metode Internal), Universitas Indonesia, Jakarta.

Jorion, Philippe. 2001. Value at Risk : The New Benchmark for Managing

Financial Risk, 2nd Edition, Mc Grawhill.

Khan, Thariqullah dan Habib Ahmad. 2001. Risk Management an Analysis of

Issues in Islamic Financial Industry, Jeddah, Saudi Arabia.

(2)

63 Khan, Thariqullah. 2003. Credit Risk Management a Framework for Islamic

Banking. Makalah dalam International Conference on Islamic Banking,

Jakarta.

Muhammad. 2005. Bank Syari’ah Problem dan Prospek Perkembangan di

Indonesia, Graha Ilmu, Yogyakarta.

Peraturan Bank Indonesia Nomor: 5/8/PBI/2003 tanggal 19 Mei 2003 tentang

Penerapan Manajemen Risiko Bagi Bank Umum.

Resti, Andrea dan Andrea Sironi. 2007. Risk Management and Shareholders’

Value in Banking, John Wiley & Sons, Ltd, England.

Saladin, Djaslim dan Abdul Salam DZ. 2000. Konsep Dasar Ekonomi dan

Lembaga Keuangan Islam, Linda Karya, Bandung.

Siregar, Mulya. 2000. Kebijakan Pengembangan Perbankan Syariah di Indonesia.

Statistik Bank Syari’ah Bulan Maret 2010, Bank Indonesia, Jakarta.

Suharyadi dan Purwanto S.K. 2003. Statistika : Untuk Ekonomi Keuangan

Modern, Salemba Empat, Jakarta.

Surat Edaran Bank Indonesia No. 5/21/DPNP tanggal 29 September 2003 tentang

Penerapan Manajemen Risiko pada Bank Umum.

Undang-Undang No. 7 Tahun 1992 tentang Perbankan sebagaimana telah diubah

dengan Undang-Undang No. 10 Tahun 1998.

(3)

UNIVERSITAS

(4)

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

a

b

c

d

e

f

g

i

j

k

l

m

n

o=f+i+k

p

q=p/1 jt r=q/a

s

t

u=(1jt x a x o x

(1-t)) - p

1

2

1.394.543

2

1.394.543 -

-

1 -

-2

2

4.000.000

2

4.000.000 -

-

1 -

-3

1

3.042.099

1

3.042.099 -

-

1 -

-4

1

4.055.997

1

4.055.997 -

-

1 -

-5

2

9.530.308

2

9.530.308 -

-

1 -

-6

4

22.832.242

4

22.832.242 -

-

1 -

-7

1

6.533.334

1

6.533.334 -

-

1 -

-8

1

7.366.981

1

8.000.002

2

15.366.983

1 4.000.001,00

4,00

0,50

0,909795952

-

-9

2

16.950.000

2

16.950.000 -

-

1 -

-10

3

28.098.222

3

28.098.222 -

-

1 -

-Total

23

103.803.726

3

8.000.002 -

28

111.803.728

3 4.000.001,00

4,00

-Sumber : Data yang telah diolah

HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+

PEMBIAYAAN MUDHARABAH

BAND 1

Total

Lancar

DPK

Kurang

Lancar

Diragukan

Macet

RR

VaR (>95%)

Lj

Jml

Debitur

Default

Expected Loss

ELj

Nj

Distribusi

Poisson

(5)

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

a

b

c

d

e

f

g

i

j

k

l

m

n

o=f+i+k

p

q=p/10 jt r=q/a

s

t

u=(10jt x a x o x

(1-t)) - p

1

14

205.788.867

14

205.788.867 -

-

1 -2

17

394.345.526

1

27.767.776

18

422.113.302

1 13.883.888,00

1,39

0,69

0,846210568

-3

15

487.937.688

1

28.511.878

16

516.449.566

1 14.255.939,00

1,43

0,48

0,917221973

-4

11

450.206.911

1

41.254.851

12

491.461.762

1 20.627.425,34

2,06

0,52

0,905002355

-5

7

357.444.650

7

357.444.650 -

-

1 -6

12

697.295.393

1

61.454.338

13

758.749.731

1 30.727.169,00

3,07

0,51

0,906098567

-7

5

337.738.231

5

337.738.231 -

-

1 -8

5

394.536.740

5

394.536.740 -

-

1 -9

7

595.123.231

7

595.123.231 -

-

1 -10

6

580.037.426

6

580.037.426 -

-

1 -Total

99

4.500.454.663

4

158.988.843

103

4.659.443.506

4 79.494.421,34

7,95

-Sumber : Data yang telah diolah

LAMPIRAN 2

HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+

PEMBIAYAAN MUDHARABAH

BAND 2

Lj

Lancar

DPK

Kurang

Diragukan

Macet

RR

VaR (>95%)

Total

Jml

Debitur

Default

Expected Loss

ELj

Nj

Distribusi

Poisson

(6)

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

a

b

c

d

e

f

g

i

j

k

l

m

n

o=f+i+k

p

q=p/100 jt r=q/a

s

t

u=(100jt x a x o x

(1-t)) - p

1

55

7.560.782.919

1

149.112.210

1

108.042.800

57

7.817.937.929

1 108.042.800,00

1,08

0,70620172

-2

32

7.544.248.239

1

209.325.316

33

7.753.573.555 -

-

1 -3

16

5.163.149.444

2

650.000.000

18

5.813.149.444

2 97.500.000,00

0,98

0,33

0,99550722

502.500.000,00

4

18

7.237.237.378

18

7.237.237.378 -

-

1 -5

13

6.439.176.701

13

6.439.176.701 -

-

1 -6

7

4.078.270.426

7

4.078.270.426 -

-

1 -7

3

2.080.027.300

3

2.080.027.300 -

-

1 -8

9

6.929.998.877

1

802.777.778

10

7.732.776.655 -

-

1 -9

8

6.960.357.448

8

6.960.357.448 -

-

1 -10

11

10.447.153.332

11

10.447.153.332 -

-

1 -Total

172

64.440.402.063

3

1.161.215.304

2

650.000.000

1

108.042.800

178

66.359.660.167

3 205.542.800,00

2,06

502.500.000,00

Sumber : Data yang telah diolah

Nj

Distribusi

Poisson

Lj

Lancar

DPK

Kurang Lancar

Diragukan

Macet

RR

VaR (>95%)

HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+

PEMBIAYAAN MUDHARABAH

BAND 3

Total

_Jml

Debitur

Default

(7)

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGD

A

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

a

b

c

d

e

f

g

i

j

k

l

m

n

o=f+i+k

p

q=p/1 M

r=q/a

s

t

u=(1 M x a x o x

(1-t)) - p

1

13

16.908.705.590

13

16.908.705.590 -

-

1 -2

6

13.254.337.955

6

13.254.337.955 -

-

1 -3

6

17.063.578.139

6

17.063.578.139 -

-

1 -4

2

8.429.143.074

2

8.429.143.074 -

-

1 -5

4

19.531.072.457

4

19.531.072.457 -

-

1 -6

1 -7

1

6.538.796.094

1

6.538.796.094 -

-

1 -8

1 -9

1 -10

3

27.001.223.081

3

27.001.223.081 -

-

1 -Total

35

108.726.856.390

35

108.726.856.390 -

-Sumber : Data yang telah diolah

LAMPIRAN 4

HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+

PEMBIAYAAN MUDHARABAH

BAND 4

Lj

Lancar

DPK

Kurang

Lancar

Diragukan

Macet

RR

VaR (>95%)

Total

Jml

Debitur

Default

Expected

Loss

ELj

Nj

Distribusi

Poisson

(8)

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

a

b

c

d

e

f

g

i

j

k

l

m

n

o=f+i+k

p

q=p/10 M r=q/a

s

t

u=(10 M x a x o x

(1-t)) - p

1

10.680.875.688

1

10.680.875.688 -

-

1 -2

1 -3

1 -4

1 -5

1 -6

1 -7

1 -8

1 -9

1 -10

1

29.697.000.000

1

29.697.000.000 -

-

1 -Total

2

40.377.875.688

2

40.377.875.688 -

-Sumber : Data yang telah diolah

HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+

PEMBIAYAAN MUDHARABAH

BAND 5

Lj

Lancar

DPK

Kurang

Lancar

Diragukan

Macet

RR

VaR (>95%)

Total

Jml Debitur

Default

Expected

Loss

ELj

Nj

Distribusi

Poisson

(9)

Jml Nas LGDA Jml Nas LGDA Jml Nas LGDA Jml Nas LGDA Jml

Nas LGDA Jml Nas LGDA

a b c d e f g i j k l m n o=f+i+k p q=p/1 jt r=q/a s t u=(1jt x a x o x (1-t)) - p 1 326 211.399.071 43 29.362.320 6 3.853.150 3 1.326.327 17 7.741.048 395 253.681.916,04 26 8.982.184,00 8,98 8,98 0,99999907 17.017.816,00 2 397 619.718.055 29 48.482.099 4 5.814.310 8 12.374.050 15 23.105.107 453 709.493.620,75 27 30.164.278,50 30,16 15,08 0,998148728 23.835.721,50 3 504 1.286.063.594 27 69.030.022 7 18.386.625 2 4.970.247 13 32.674.900 553 1.411.125.388,28 22 37.918.017,25 37,92 12,64 0,994433449 28.081.982,75 4 485 1.716.908.313 51 178.545.120 10 35.391.595 7 24.559.550 5 16.673.250 558 1.972.077.828,32 22 34.261.764,25 34,26 8,57 0,999967811 53.738.235,75 5 459 2.086.089.561 41 188.822.200 3 13.483.300 9 41.206.770 13 59.160.800 525 2.388.762.630,59 25 81.786.680,00 81,79 16,36 0,98324932 43.213.320,00 6 430 2.371.836.685 32 174.413.662 9 50.023.524 9 49.143.655 6 34.384.348 486 2.679.801.874,43 24 66.459.704,10 66,46 11,08 0,999780029 77.540.295,90 7 360 2.355.421.852 40 262.764.979 3 18.794.105 6 38.617.520 2 12.958.850 411 2.688.557.306,09 11 35.086.725,75 35,09 5,01 0,994444031 41.913.274,25 8 309 2.327.832.109 22 167.516.354 8 60.388.587 8 59.421.550 3 22.476.850 350 2.637.635.450,01 19 61.245.913,05 61,25 7,66 0,999855481 90.754.086,95 9 340 2.890.861.557 32 271.107.793 5 42.830.996 5 41.949.214 9 76.578.788 391 3.323.328.348,66 19 103.978.044,40 103,98 11,55 0,985041703 67.021.955,60 10 326 3.103.616.502 19 179.923.204 3 28.852.250 2 19.524.750 7 67.171.100 357 3.399.087.805,80 12 81.261.312,50 81,26 8,13 0,929940146 -Total 4.356 18.969.747.300 358 1.569.967.753 80 277.818.442 80 293.093.633 247 352.925.041 5.121 21.463.552.168,97 407 541.144.623,80 541,14 443.116.688,70

Sumber : Data yang telah diolah

LAMPIRAN 6 HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+

PEMBIAYAAN MURABAHAH BAND 1

Lj

Lancar DPK Kurang Lancar Diragukan Macet

RR VaR (>95%) Total Jml

Debitur Default

Expected Loss ELj Nj Distribusi Poisson

(10)

a b c d e f g i j k l m n o=f+i+k p q=p/10 jt r=q/a s t u=(10jt x a x o x (1-t)) - p 1 2.505 35.470.601.528 194 2.787.968.564 18 258.444.239 27 379.094.842 52 747.928.717 2.796 39.644.037.889,99 97 976.242.773,85 97,62 97,62 0,501720069 -2 1.716 39.711.551.328 153 3.563.622.840 21 495.393.443 23 523.574.177 25 588.262.743 1.938 44.882.404.531,91 69 924.358.847,95 92,44 46,22 0,999330581 455.641.152,05 3 1.136 36.690.654.670 98 3.183.901.767 19 620.013.558 12 392.691.012 13 424.658.679 1.278 41.311.919.685,87 44 714.006.218,70 71,40 23,80 0,999930962 605.993.781,30 4 915 38.099.660.772 99 4.112.659.513 13 534.698.950 10 414.530.987 6 247.507.948 1.043 43.409.058.169,95 29 534.978.284,00 53,50 13,37 0,999937706 625.021.716,00 5 698 35.005.143.469 59 2.973.949.318 14 701.446.155 6 313.325.517 9 435.399.432 786 39.429.263.891,35 29 697.279.113,75 69,73 13,95 0,999872798 752.720.886,25 6 428 25.353.484.858 58 3.406.071.791 6 358.090.988 4 231.729.900 10 603.651.483 506 29.953.029.019,55 20 773.230.081,20 77,32 12,89 0,976920658 426.769.918,80 7 400 27.272.230.174 40 2.749.041.383 8 541.231.898 3 195.136.727 8 537.222.800 459 31.294.862.982,08 19 715.975.948,20 71,60 10,23 0,995601703 614.024.051,80 8 351 27.069.841.472 32 2.462.235.215 5 390.735.043 1 78.786.100 2 154.798.758 391 30.156.396.588,23 8 252.802.064,45 25,28 3,16 0,994717055 387.197.935,55 9 309 26.751.060.977 26 2.229.777.530 12 1.046.956.096 6 515.643.481 4 339.692.242 357 30.883.130.325,93 22 754.557.396,90 75,46 8,38 0,999976674 1.225.442.603,10 10 313 30.000.326.506 29 2.758.611.997 1 91.140.178 3 282.764.803 7 665.559.029 353 33.798.402.512,72 11 820.612.457,20 82,06 8,21 0,872624549 -Total 8.771 321.424.555.754 788 30.227.839.919 117 5.038.150.548 95 3.327.277.546 136 4.744.681.831 9.907 364.762.505.597,58 348 7.164.043.186,20 716,40 5.092.812.044,85

HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+ PEMBIAYAAN MURABAHAH

BAND 2

Lj

Debitur Default

(11)

a b c d e f g i j k l m n o=f+i+k p q=p/100 jt r=q/a s t u=(100jt x a x o x (1-t)) - p 1 1.227 168.661.986.980 126 16.786.191.904 20 2.880.199.434 7 1.010.988.962 21 2.784.499.474 1.401 192.123.866.753,70 48 3.722.023.870,10 37,22 37,22 0,963416663 1.077.976.129,90 2 544 123.024.713.787 43 9.904.295.263 8 1.783.503.553 2 480.348.792 4 901.787.140 601 136.094.648.534,73 14 1.409.487.068,95 14,09 7,05 0,99393821 1.390.512.931,05 3 266 84.418.690.091 17 5.387.267.096 3 967.154.558 2 642.564.591 4 1.325.549.038 292 92.741.225.373,89 9 1.791.904.517,20 17,92 5,97 0,917921054 -4 160 65.976.867.172 7 3.027.223.016 3 1.172.025.884 2 859.328.038 172 71.035.444.109,55 5 1.035.131.920,60 10,35 2,59 0,951852812 964.868.079,40 5 117 57.793.312.360 10 4.769.783.534 1 489.214.185 128 63.052.310.078,94 1 73.382.127,75 0,73 0,15 0,990228089 426.617.872,25 6 52 30.693.691.604 7 4.168.708.086 3 1.786.770.318 62 36.649.170.007,55 3 268.015.547,70 2,68 0,45 0,998836378 1.531.984.452,30 7 47 31.848.746.953 1 665.723.446 1 675.867.500 49 33.190.337.898,53 1 675.867.500,00 6,76 0,97 0,74843897 -8 37 28.804.240.091 3 2.245.365.599 40 31.049.605.689,73 3 336.804.839,85 3,37 0,42 0,99906304 2.063.195.160,15 9 28 24.095.250.299 3 2.515.899.831 3 2.588.759.433 34 29.199.909.562,62 3 388.313.914,95 3,88 0,43 0,998974936 2.311.686.085,05 10 41 38.846.984.833 2 1.882.315.914 1 951.782.493 44 41.681.083.239,81 1 475.891.246,50 4,76 0,48 0,917017059 -Total 2.519 654.164.484.167 216 49.107.408.090 44 13.912.992.964 12 3.085.684.838 32 6.547.031.190 2.823 726.817.601.249,05 88 10.176.822.553,60 101,77 9.766.840.710,10

Lj

Debitur Default

(12)

Jml Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

Jml

Nas

LGDA

a

b

c

d

e

f

g

i

j

k

l

m

n

o=f+i+k

p

q=p/1 M r=q/a

s

t

u=(1 M x a x o x

(1-t)) - p

1

36

49.533.873.367

1

1.099.057.564

37 50.632.930.930,64

-

1 -2

10

23.896.444.297

1

2.428.851.931

11 26.325.296.228,00

1 364.327.789,65

0,36

0,18

0,985292

1.635.672.210,35

3

13

42.326.997.910

13 42.326.997.910,17

-

1 -4

9

36.896.202.038

9 36.896.202.037,78

-

1 -5

7

33.383.624.298

1

4.724.042.457

8 38.107.666.754,83

-

1 -6

3

18.165.215.430

3 18.165.215.430,00

-

1 -7

5

33.752.793.119

5 33.752.793.118,90

-

1 -8

1

7.454.537.420

1 7.454.537.420,00

-

1 -9

4

33.444.348.564

4 33.444.348.564,23

-

1 -10

1

9.791.563.533

1 9.791.563.533,00

-

1 -Total

88

281.191.062.556

3

13.277.637.441

1

2.428.851.931

92 296.897.551.927,55

1 364.327.789,65

0,36

1.635.672.210,35

Sumber : Data yang telah diolah

HASIL PERHITUNGAN DENGAN MENGGUNAKAN METODE CREDITRISK+

PEMBIAYAAN MURABAHAH

BAND 4

Lj

Lancar

DPK

Kurang Lancar

Diragukan

Macet

RR

VaR (>95%)

Total

Jml

Debitur

Default

Expected Loss

ELj

Nj

Distribusi

Poisson

(13)

a b c d e f g i j k l m n o=f+i+k p q=p/10 M r=q/a s t u=(10 M x a x o x (1-t)) - p 1 4 54.165.087.412 4 54.165.087.412,00 - - - 1 -2 1 19.024.411.478 1 19.024.411.478,00 - - 1 -3 1 22.516.415.511 1 22.516.415.511,00 - - 1 -4 1 26.015.754.982 1 26.015.754.982,00 - - 1 -5 3 85.047.907.400 3 85.047.907.400,00 - - 1 -6 - -7 - -8 1 39.096.080.023 1 39.096.080.022,67 - - 1 -9 1 43.573.299.273 1 43.573.299.273,00 - - 1 -10 1 46.127.696.987 1 49.416.021.367 2 95.543.718.354,00 - - 1 -Total 13 335.566.653.066 1 49.416.021.367 14 384.982.674.432,67 -

-Sumber : Data yang telah diolah

Lj

Lancar DPK Kurang

Lancar Diragukan Macet Total _DebiturJml _RR _{VaR (>95%)} Default

Expected

Loss ELj Nj

Distribusi Poisson

(14)