Analisis Portofolio Kredit Perbankan Umum dan Syariah Berdasarkan Sektor Ekonomi

Abstract

The purpose of this research is tofind the optimum combination of banks credit portfolio with the smallestcreditrisk based on the economic sectors on each category of commercial bank and Islamic bank in Indonesia.The tools of the research are Markowitz and Value at Risk (VaR) methods.Type of data used is secondary dataconsist of monthly data ofthe credit position from the ten economic sectors of banks in the period 2009-2011. Alldata are taken from the Statistic Data of Central Bank of Indonesia. Totaldata used are 600 data consist of theten economicsectors such as agriculture; mining; manufacturing; electricity, gas and water;construction; trade,restaurant and hotels; transportation, warehousing andcommunication; business services; social services, andother.The result suggestthat optimum combination of credit portfolio on eachbanks contains five economic sectorsand number of VaR for credit risk on eachbanks almost same. Banks should make decision of creditportfoliowithdifferent combination of economic sectors to minimize credit risk.Keywords: portfolio of credit, economics sectors, VaR,Markowitz method