Penerapan Vector Error Correction Model dalam Meramalkan Expected Credit Loss Bank Permata

Adelia Putri Meylawati; Vicky Vendy

doi:10.37479/jar.v7i2.292

Adelia Putri Meylawati Universitas Pembangunan Nasional "Veteran" Jawa Timur
Vicky Vendy Universitas Pembangunan Nasional "Veteran" Jawa Timur

DOI: https://doi.org/10.37479/jar.v7i2.292

Abstract

Expected Credit Loss mencerminkan besarnya potensi kerugian kredit yang harus diantisipasi oleh bank di masa depan dan menjadi komponen penting dalam manajemen risiko perbankan sesuai dengan IFRS 9. ECL menuntut kemampuan perbankan dalam memproyeksikan risiko kredit secara akurat dengan mempertimbangkan kondisi ekonomi makro. Tujuan penelitian ini untuk meramalkan nilai ECL Bank Permata dalam 20 kuartal mendatang dengan metode VECM. Data yang digunakan berupa laporan keuangan kuartalan periode 2010 hingga 2025 yang memuat komponen Probability of Default (PD), Loss Given Default (LGD), dan Exposure at Default (EAD) serta data variabel makroekonomi. Penulis menggunakan uji Augmented Dickey-Fuller, Vector Error Correction Model, Impulse Response Function, Variance Decomposition, dan Forecasting. Hasil peramalan menggambarkan bahwa dalam 20 kuartal mendatang, ECL Bank Permata diprediksi terjadi secara konsisten dengan jumlah tiga sampai empat triliun rupiah. VECM telah menunjukkan tingkat akurasi yang tinggi dalam meramalkan nilai ECL di masa depan. Penelitian ini diharapkan dapat menjadi dasar dalam menetapkan pencadangan kerugian kredit yang lebih tepat dan sesuai dengan kondisi ekonomi.

Keywords: Expected Credit Loss, IFRS 9, VECM

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