Value at Risk in Banks on the Financial Digitalization Phenomenon
1Yesi Lestari, 2Ignatius Roni Setyawan
1Pendidikan Profesi Akuntan, Universitas Tarumanagara, Jl. Tanjung Duren Utara 1 Jakarta, Indonesia
2Pendidikan Profesi Akuntan. Universitas Tarumanagara Jakarta, Jl. Tanjung Duren Utara 1 Jakarta, Indonesia
https://doi.org/10.47191/jefms/v6-i12-20
ABSTRACT:
The purpose of this research is to measure risk, understand the function of risk management, and understand the effectiveness of implementing risk management in banks post the Covid-19 pandemic and the phenomenon of financial digitalization. The objects used in this research are banking companies listed on the Indonesia Stock Exchange during the research period 2020-2022. This research uses a sample of 42 banks are selected using a purposive sampling method. The research method used is measuring value at risk (VaR) using the historical simulation method. The results of the research show that the five banks that have the lowest level of risk are banks in the book IV category. The application of banking risk management to financial digitalization requires adaptability, innovation and inter-departmental cooperation. With a good approach, banks can mitigate emerging risks while optimizing the benefits of digital transformation in financial services.
KEYWORDS:
Risk Management, Post Covid-19 Pandemic, Value at Risk, Historical Simulation Method, Stock Return
REFERENCES:
1) D Astutik, Y., & Hastuti, R.K. (2020). Ada Tantangan Keamanan, Digital Banking Tetap Melesat. Accessed on 30 September 2023 from https://www.cnbcindonesia.com/tech/20200824171851-37-181615/ada-tantangan-keamanan-digital-banking-tetap-melesat.
2) Bank Indonesia. (2022). Transaksi Uang Elektronik. Accessed on 23 October 2023 from https://www.bi.go.id/id/statistik/ekonomi-keuangan/spip/Documents/TABEL_5e.pdf.
3) Cahyolaksono, B. A., Adhitya, M., & Muhammad. I.Z. (2021). Usulan Kebijakan Pencegahan Risiko Perbankan di Era Digital. Entrepreneurship Bisnis Manajemen Akuntansi (E-BISMA), 2(1), 18-26.
4) Kenton, A. (2023). Memahami Nilai Berisiko (VaR) dan Cara Menghitungnya. Accessed on 27 October 2023 from https://www-investopedia-com.translate.goog/terms/v/var.asp?_x_tr_sl=en&_x_tr_tl=id&_x_tr_hl=id&_x_tr_pto=tc.
5) Maruddani , D.A.I, & Ari, P. (2009). Pengukuran Value at Risk pada Aset Tunggal dan Portofolio dengan Simulasi Monte Carlo. Media Statistika, 2 (2), 93-104.
6) Ngamal, Y., & Maximus, A.P. (2022). Penerapan Model Manajemen Risiko Teknologi Digital di Lembaga Perbankan Berkaca pada Cetak Biru Transformasi Digital Perbankan Indonesia. Jurnal Manajemen Risiko, 2 (2), 59-74.
7) Otoritas Jasa Keuangan. (2016). Peraturan Otoritas Jasa Keuangan Nomor 6/POJK.03/2016 Tentang Kegiatan Usaha dan Jaringan Kantor Berdasarkan Modal Inti Bank. Jakarta.
8) Otoritas Jasa Keuangan. (2016). Peraturan Otoritas Jasa Keuangan Nomor 18/POJK.03/2016 Tentang Penerapan Manajemen Risiko Bagi Bank Umum. Jakarta.
9) Otoritas Jasa Keuangan. (2021). Peraturan Otoritas Jasa Keuangan Nomor 12/POJK.03/2021 Tentang Bank Umum. Jakarta.
10) Padang, A.G.R., Awalludiyah, A., & Eman, S. (2021). Penilaian Manajemen Risiko TI Menggunakan Quantitative dan Qualitative Risk Analysis. Jurnal Sistem Informasi, 10 (3), 527-537.
11) Republik Indonesia. (1998). Undang-Undang RI No 10 Tahun 1998 tentang Perbankan. Kementerian Keuangan. Jakarta.
12) Sekaran, U., & Roger, B. (2020). Research Methods for Business, 8th Edition. United States of America: Wiley Global Education US.
13) Sinamo, S. (2021). How New Digital Banks Can Bring Banking to the Edge. Accessed on 25 September 2023 from http://www.thejakartapost.com/academia/2021/09/02/how-new-digital-banks-can-bring-banking-to-the-edge.html#gogole_vignette
14) Sugiyono. (2018). Metode Penelitian Kuantitatif. Bandung: Alfabeta.
15) Triswandana, I. W. G. E., & Armaeni, N. K. (2020). Penilaian Risiko K3 Konstruksi Dengan Metode Hirarc. Ukarst : Universitas Kadiri Riset Teknik Sipil, 121 (4), 97-108.
16) Wahdini, & Rosha, N. (2021). Pengukuran Value at Risk (VaR) Saham Perbankan Dalam Indeks IDX30 Dengan Metode Simulasi Historis. UNPjoMath, 6 (4), 44-49.
17) Widoatmodjo, S. & Setyawan, I.R. (2023). Special Treatment to Bank CEOs in Indonesia. Academic Journal of Interdisciplinary Studies, 12 (2), 137-147.
18) Zaini, Z.D., Intan, N.S., & Megi, S. (2022). Risiko Hukum Sebagai Salah Satu Bentuk Manajemen Risiko Dalam Keberlakuan Digitalisasi Sektor Jasa Perbankan. Jurnal Penelitian Bidang Hukum Universitas Gresik, 11 (5), 690-698.
