ESTIMASI HARGA PREMI PENJAMINAN SIMPANAN WAJAR BAGI IDIC DENGAN MODEL RISIKO KREDIT
ABSTRACT: Indonesia Deposit
Insurance Corporation (IDIC) was introduced in 2005 to replace implicit or
blankeet guarantee system. Currently IDIC uses flat rate insurance premium.
Theoretically, the use of flat rate system may induce moral hazard behavior
among Indonesian banks, subsidy from low risk banks to high risk banks, and increase
insolvency risk for IDIC if bank rush occurs. This paper attempts to calculate
fair insurance premium rate (floating rate) as an alternative to flat rate
insurance premium. The floating rate can be expected to reduce moral hazard
potential and to reflect more realistic economic condition faced by IDIC. We
use Credit Risk Value at Risk model with Monte-Carlo simulation to calculate
the fair insurance premium. Using 23 public banks in Indonesia, we find several
empirical findings. First, default density function is skewed to the right,
suggesting high systematic risk in Indonesia. Second, IDIC economic capital
seems to be lower than ‘theoretical’ capital calculated using folating rate in surance
premium. Third, in line with second finding, the amount of current insurance
premium collected by IDIC seems to be lower than the ‘theoretical’ amount calculated
using floating rate premium. Our model pro-duces different insurance premium
for banks, depend-ing on banks’ risks.
Our model also takes account larger exposure to IDIC from larger banks.
Keywords: deposit insurance
corporation, flat rate in-surance premium, fair rate insurance premium, moral hazard,
credit risk
Penulis: Firman Pribadi
Kode Jurnal: jpmanajemendd120318
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