Capital adequacy ratio memoderasi pengaruh risiko operasional, risiko kredit, risiko likuiditas dan risiko pasar terhadap financial distress

Gunawan, Ezra Stepen (2023) Capital adequacy ratio memoderasi pengaruh risiko operasional, risiko kredit, risiko likuiditas dan risiko pasar terhadap financial distress. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini dilaksanakan dengan tujuan untuk menguji dampak dari risiko operasional, risiko kredit, risiko pasar dan risiko likuiditas terhadap financial distress dengan capital adequacy ratio sebagai variabel moderasi. Risiko operasional dalam penelitian ini diproksikan dengan BOPO, risiko kredit diukur menggunakan proksi NPL, risiko likuiditas mempergunakan LDR sebagai proksi, risiko pasar mempergunakan NIM sebagai proksi. Financial distress menggunakan proksi Zmijewski, dan Capital Adequacy Ratio sebagai pemoderasi. Penelitian dilakukan dengan menggunakan data sekunder dari 42 perusahaan yang berada di Indonesia yang termasuk dalam kategori industri Perbankan pada S&P Capital IQ selama periode 2015-2022. Teknik pengumpulan sampel dalam penelitian ini menggunakan purposive random sampling method. Penelitian ini menemukan hasil bahwa risiko operasional, risiko likuiditas dan risiko pasar berpengaruh positif terhadap financial distress, sedangkan risiko kredit tidak memiliki pengaruh terhadap financial distress. Dalam penelitian ini juga ditemukan bahwa capital adequacy ratio dapat memperlemah pengaruh positif dari risiko operasional, risiko kredit terhadap financial distress dan dapat memperlemah pengaruh negative dari risiko likuiditas dan risiko pasar terhadap financial distress. / This study was conducted with the aim to examine the impact of operational risk, credit risk, market risk and liquidity risk on financial distress with capital adequacy ratio as a moderation variable. Operational risk in this study is proxied by BOPO, credit risk is measured using NPL proxy, liquidity risk uses LDR as a proxy , market risk uses NIM as a proxy. Financial distress uses the Zmijewski proxy, and the Capital Adequacy Ratio as moderation. The research was conducted using secondary data from 42 companies located in Indonesia that are included in the Banking industry category on S&P Capital IQ during the period 2015-2022. The sample collection technique in this study used purposive random sampling method. This study found that operational risk, liquidity risk and market risk have a positive effect on financial distress, while credit risk has no influence on financial distress. In this study it was also found that the capital adequacy ratio can weaken the positive influence of operational risk, credit risk on financial distress and can weaken the negative influence of liquidity risk and market risk on financial distress.

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