Title: Determinants of Credit Risk and Liquidity Risk in Conventional Commercial Banks That Went Public on the Indonesian Stock Exchange in 2009-2013

Authors: Rezha Pradipta Dewanto

Item Type : Thesis (Thesis)

Affiliations: Master of Management Science Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia

Publisher: Universitas Airlangga

Abstract

The existence of a healthy bank is a prerequisite for a healthy economy. To maintain bank health, it is necessary to pay attention to the bank's ability to manage risks. The biggest risks faced by banks are credit risk and liquidity risk. Credit risk and liquidity risk are the main risks because banks operate their business as intermediaries. This study examines the internal determinants of credit risk and liquidity risk in banks. The dependent variables in this study are credit risk and liquidity risk. The independent variables in this study are company size (SIZE), capital adequacy ratio (CAR), profitability (ROA), leverage (DER), and bank age (AGE). This study was conducted on a sample of 33 conventional public banks in Indonesia. The study period was 2009 to 2013. The analysis test used panel data regression, resulting in 165 observations. The results showed that SIZE and ROA had a negative effect, CAR and AGE had a positive effect, and DER had no significant effect on credit risk as measured by NPL. Meanwhile, for liquidity risk as measured by LDR, only the AGE variable had a positive effect. The variables SIZE, CAR, ROA, and DER do not affect liquidity risk as measured by LDR.

Keywords: Conventional Commercial Banks, Credit Risk, Liquidity Risk, company size, capital adequacy ratio, Return on Assets, leverage, company age

Sources: http://repository.unair.ac.id/33616/