Tolla, Suci Dwilianti (2025) Estimasi Expected Credit Loss Berbasis PSAK 109 Menggunakan Model Autoregressive Integrated Moving Average Pada Perbankan Di Indonesia. Undergraduate thesis, UPN Veteran Jawa Timur.
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Abstract
This study aims to estimate the Expected Credit Loss (ECL) in accordance with PSAK 109 by employing the ARIMA model on the five largest banks in Indonesia, Bank Mandiri, BRI, BCA, BNI, and BTN over the period 2004–2024. A quantitative approach was applied using purposive sampling and secondary data in the form of annual financial reports, which include components such as Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD). The ARIMA model selection was conducted through stationarity tests (Augmented Dickey Fuller and KPSS), along with ACF and PACF analyses. The best-fitting models were determined based on the lowest Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) values. The results show that the optimal ARIMA model varies for each bank, namely ARIMA(1,0,1) for Bank Mandiri, ARIMA(1,1,1) for BRI and BCA, ARIMA(1,1,0) for BNI, and ARIMA(0,2,1) for BTN. These models are capable of accurately estimating and forecasting ECL trends for the period 2025–2029. The findings contribute to the banking industry and financial regulators by supporting data-driven, forward-looking credit loss provisioning and enhancing decision-making in risk management practices. Keywords: Expected Credit Loss, ARIMA, PSAK 109, credit risk, banking.
| Item Type: | Thesis (Undergraduate) | ||||||||
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| Subjects: | H Social Sciences > HC Economics | ||||||||
| Divisions: | Faculty of Economic > Departement of Accounting | ||||||||
| Depositing User: | SUCI DWILIANTI TOLLA | ||||||||
| Date Deposited: | 22 Jul 2025 07:46 | ||||||||
| Last Modified: | 22 Jul 2025 07:46 | ||||||||
| URI: | https://repository.upnjatim.ac.id/id/eprint/40392 |
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