Perpustakaan Digital ITB

Bank X, the public listed company, is one of the biggest bank in Indonesia. The good management system supports the growing and developing performance which had been through for about 6 years in banking industry. Concerning to Bank Indonesia's regulations, Bank X implements risk management to support the good performance. Bank X provides a proper and effective management in controlling and monitoring the risk, including credit risk. To measure the credit risk, banks need to determine probability of default, exposure at default, and loss given default. Since credit risk is one of the important risk that should be managed by consumer bank, bank needs to have the fit measurement in deciding credit approval to the debtors. The fit measurement is needed to prevent the blown-up numbers of non-performing loan or even default. The applied measurement in Bank X is using credit rating for Corporate Segment, as the internal rating-based approach. The credit rating could also prepare the capital allocation for bank, in preparing the debtors' default. Credit rating has two parameters involved, quantitative and qualitative parameters. The quantitative parameter, as the mandatory parameter, is using financial ratios. The qualitative parameter, as the supporting data, is using the debtors or corporates actual performance data. At the end, credit rating of debtors produces the probability of default.