FINANCIAL DISTRESS PREDICTION ON PUBLIC LISTED BANKS

IN INDONESIA STOCK EXCHANGE

Dionysia Kowanda
Faculty of Economics, Gunadarma University

Rowland Bismark Fernando Pasaribu

Faculty of Economics, Gunadarma University

Muhammad Firdaus
Faculty of Economics, Gunadarma University

ABSTRACT:
A financial distress of company should be able anticipated smartly by its management to rerun the business
without having any loss due to business failure. Thus, we need a model which could provide an early signal to
company the probability of financial distress so that remedial efforts can be run immediately. This study aims
to explore CAMELs ratio as an early classificator, and also to reexamine the capacity of CAMEL ratio as a
predictor of banks distress. Using a logit binary to classified the probability of distress and non-distress, then
multiple regression to determines the ability of financial ratios as a predictor of distress issuers which obtained the following results: a) An exploration CAMEL ratios as an early classificator resulting high classification capacity with a range of 78.7%-91.4%, Furthermore, when CAMEL ratio were used as a predictors,
still resulted a high of capability to classify samples accurately by 82.4%.
Keyword : CAMEL, distress, financial distress, logit binary, rasio
1 INTRODUCTION
If the money supply in the economy is like the blood
that flows in the human body, then the financial system (which is largely dominated by the banking system) is the heart. Strong Heart will be able to pump
blood throughout the body so that the body becomes
healthy and sustainably balanced. Likewise, the
strong and healthy banking system will be able to
mobilize funds, develop and grows strong economy,
and leads into prosperity. It is clear that strong and
healthy banking system is required to create a developing economic system.
The world financial crisis condition is impacting the
domestic financial sector, particularly the banking
sector, where the banks as a financial institution
have a vital influence on the economy of a country.
Several indicators indicates that the global crisis effecting the Indonesian economy, including the weakening Rupiah exchange rate at the level of 10,000
for an American dollar, the lack of banking liquidity,
and there are at least 19 banks potentially enter the

intensive supervision of Bank Indonesia, as Non

Performing Loan ( NPL ) raise above 5 % ( Bank
Indonesia , 2010) .
Banking business is always a high risk business and
received a special attention from the government
through the pillars set out in regulations such as
CAMEL, as stated in Bank Indonesia Circular Letter
No. 26/5 / BPPP, dated May 29, 1993 and refined into CAMELS in Bank Indonesia Regulation ( PBI ) 6
/ 10 / PBI / 2004 dated 12 April 2004 and Circular 6
/ 23 / DPNP dated May 31, 2004 on the System Rating for Commercial Banks . These pillars formed by
government in order to ensure that the banks are
running healthy, because unhealthy bank becomes
an economy burden.
How financial distress can be predicted becoming
very important for the stakeholders of the company,
so that the topics remain interesting to observe, because the late identification of the financial distress
will cost resolving effort on businesses financial dis-

The 3rd International Congress on Interdisciplinary Behavior & Social Science 2014 | 364

tress becoming much more expensive (Poghosyan &

Cihak , 2011) .

Several ways to predict early warning of financial

distress is by sought declining a trend of global financial and using a risk management. In addition,
the common approach to measure a healthy of bank
is using financial ratios that reflect (CAMEL).

2.1 Financial Distress in Bank

Previous studies using financial ratios ranging from

as predictors of financial distress (Pasaribu , 2008),
predictors of failure (Aryati , 2002) to a predictors of
bankruptcy of a business (Endri , 2009) . The use of
CAMEL financial ratios as predictors distress and
non-distress of a bank have been carried out in Indonesia, but the dynamics of the research havent converging on a consensus yet.
The Research of Almilia & Herdinigtyas (2005),
Wicaksana ( 2011) have quite different results with
Sumantry & Jurnali (2010) , Nurazi & Evans (2005),
Prasetyo & Pangestuti (2011) in terms of CAR influence on the prediction of financial difficulties.
While Ediningsih (2010) and Almilia & Herdinigtyas (2005) in contrast to Mulyaningrum (2008) in
terms of ROA. Then in terms of BOPO (Almalia &
Herdinigtyas, 2005; Wicaksana, 2011) and Nurazi &
Evans (2005) in contrast to research of Mulyaningrum (2008) and Sulityowati (2002). In terms of
LDR ratio there are differences between Wicaksana
(2011), Sumantry & Jurnali (2010) and Ediningsih
(2010) with research by Sulityowati (2002). The results discrepancies between studies provide a research gap and underlying this present study.
Financial research to date puts early classificator variable as independent variables. This study clarifies
in advance the capacity power of each early classificator variable in accurately classifying samples, and
then put all the classificator variables as distress
probability predictor of research sample. Or in other
words, this study tries to present not just a classification power of samples accurately, also partial significance as a distress probability predictor of the
sample. By understanding the partial significance,
we can use these predictors to estimate the distress
or non-distress probability of a bank.
This study aims to explore the capacity of CAMEL
ratios as classifier of early corporate distress and
non-distress, then using proxy for liquidity, solvency
and profitability as a predictor of the initial classification results and to re-test the capacity of CAMEL
ratios as predictors of distress conditions on public
listed banks in Indonesia Stock Exchange 2009-2012
period.

LITERATURE REVIEW

Financial distress hereafter referred to condition

where a company is in financial difficulties. Financial distress models need to be developed , because
actions to anticipate the conditions that lead to worse
conditions such as financial failure and bankruptcy
is expected to be done early (Almilia & Kristijadi ,
2003; Atmini & Wuryan , 2005) which would eliminate the stakeholders confidence on the management. Financial distress signal according Pasaribu
(2008) can be seen from the lower sales volume , the
decline in the company 's ability to make profits , reliance on debt, amount of dividends distributed to
shareholders is decreasing during several periods in
a row.
2.2 Financial Ratios as Determinants of Banking
Financial Distress
Financial performance reflects the management's
ability to manage the company. In this study, financial performance can represent The CAMEL.
Table 1. Ratio Represent CAMEL
Ratios
CAR
NPL
BOPO
ROA
LDR

Represent
Capital on CAMEL
Asset on CAMEL
Management on CAMEL
Equity on CAMEL
Liquidity on CAMEL

CAR of the bank is set at 8% represent the bank resilience to face assets depreciation due to troubled/bad
or risky assets. It shows that there is a negative relationship between the CAR with financial distress.
The research of Almilia & Herdinigtyas (2005), Prasetyo (2011), Wicaksana (2011) founds a negative
relationship between the CAR and bank distress
condition, while Sumantri & Jurnali (2010) and Nurazi & Evans (2005) shows the opposite condition.
NPL is determined by Bank Indonesia regulation
worth less than 5% represent the management's
ability to manage credit (Almilia and Herdinigtyas,
2005). The higher the NPL, provides information of
bank failures in managing the business (Almilia &
Herdinigtyas, 2005; Mulyaningrum, 2008; Suherman, 2007; and Wicaksana, 2011).
BOPO was assessed by comparing the operating
costs to operating income, the higher value of BOPO
shows that the bank's operations are inefficient, and
prove that management not performed well. High
BOPO value describe that banks earning or insufficient to cover the required bank expenses and ultimately brought the bank to the financial difficulty,
| 365

so it can be said that BOPO has a positive relation to

bank distress. Previous research (Almalia & Hediningtyas, 2005) showed that BOPO has a significant
positive effect on distress prediction, together with
along with Wicaksana (2011) and Nurazi & Evans
(2005), Mulyaningrum (2008) found that BOPO has
a positive effect but not significant. On otherside,
Sumantry & Jurnali (2010) found that BOPO has a
insignificant negative effect and while Sulityowati
(2002) conclude that BOPO ratio has a significant
negative effect on the prediction of bank financial
distress.
ROA used to measure the ability of company to generate revenue from asset management. The greater
value of ROA ratio, the greater income achieved the
better bank performance in managing company assets. Thus the higher of bank's assets allocated to
loan and the lower the capital ratio, the possibility of
banks financial distress will increase, while the
higher ROA, the possibility of the bank distress will
be smaller, resulting that ROA has a negative effect
on bank distress.
Previous research by Ediningsih (2010) resulting
that ROA has a significant negative effect on financial predictions disstress. In contrary, Sumantry &
Jurnali (2010) and Nuzari & Evans (2005) found
that ROA has a positive effect, while Mulyaningrum
(2008), Almalia & Herdaningtyas (2005) and Wicaksana (2011) found that ROA has insignificant
negative effect.
LDR is assessed by comparing the total credit/loan
provided to a third party with the funds received
from third parties. LDR ratio indicates the ability of
banks to provide the funds received from third parties when due. According to Santoso (2006) in Asmoro & Widyarti (2010), LDR ratio proportional to
the probability of bank financial distress as research
Aryati & Balafi (2007). This happens because the
funds allocated for loan/credit has a high risk, the
greater the credit allotted, the greater the nonperforming or uncollected loan, and the greater the
possibility of financial distress. Theoretical Framework can be seen in Figure 1.
Figure 1 Theoretical Framework

2.3.Hypothesis
Based on brief description on the introduction, formulation and problem definition, research objectives, the basic theory and previous research, as well
as the framework in this study, the hypothesis that
will be used are as follows:
H1:Financial ratios are significantly influential to
distinguish companies that are considered distress and non-distress classification based on
CAR, LDR, ROA, NPL, and BOPO.
H2:Financial distress prediction model generated
through the use of financial ratios in the binary
logit analysis has high classification accuracy.
H3:CAMEL ratio as predictor has significant effect
on the prediction of the distress probability on
listed banks.
H4:Financial distress prediction model generated
through the use of CAMEL ratio as a predictor
in binary logit analysis has high classification
accuracy.
3 RESEARCH METHODOLOGY
3.1 Population and Sample
The population used in this study is 27 bank listed in
Indonesia Stock Exchange (IDX) 2009-2012. The
sample selection is done based on purposive sampling method, the sample selection of banking companies during the study period with considerations
and criteria that are tailored to the research objectives are:
1. Public banks listed on Indonesia Stock Exchange period 2009-2012;
2. Finance report document complete which
will be used to divided sample into :
a. Non-Distress: Companies that do
not suffer losses for two consecutive years
b. Distress: company Debt is larger
than the capital and experiencing
loss for at least two consecutive
years
Finally, 27 banks were selected as research samples.
3.2 Research Variable
The dependent variable in this study is distress and
non-distress clasificator referring to Bank Indonesia
concerning CAMEL ratio performance. The sample
will be classified using dummy technique as follow:
0 = non-distress and 1 = distress (look table 2)
The independent variables in this study are several
financial ratios derived from report such as balance
sheet, profit/loss, cash flow, in the form of liquidity

The 3rd International Congress on Interdisciplinary Behavior & Social Science 2014 | 366

ratios, solvency, profitability, leverage and cash flow

that were adopted from Almilia (2006) and Brahmana (2007) studies (look table 3).

Y = 1 = Distress; If the sample had 2 or more CAMEL financial ratios < BI minimum requirements.
4

RESULTS

Table 2. Distress and Non-Distress Classification

Ratio

Distress

Non-Distress

CAR

< 0.08

0.08

LDR

> 1.10

1.10

ROA

< 0.015

0.015

NPL

0.05

> 0.05

BOPO

> 0.9325

0.9325

4.1 Hypothesis Testing

* Source: Bank Indonesia (2009)

Table 3. The Dependent Variable as Distress and

Non-Distress
Indicators.
______________________________________________
Proxy
Indicator
______________________________________________
Liquidity
QR = Cash assets/Total Deposit
IPR = Securities/Total Deposit
BR = Total Loans/Total Deposit
ALR = Total Loans/Total Assets
CR = Liquid Asset/Short Term Borrowing
DRR = Equity Capital/Total Deposit
______________________________________________
Solvency
RAR = Equity Capital/(Total Assets-Cash Assets-Securities)
CRa = Equity Capital + Reserve for loan
losses/Total Loans
Cri = Equity Capital/Secondary Risk Ratio
______________________________________________
Rentability
GPM = (O. Income-O. Expense)/O. Income
NPM = Net Income/O. Income
NITA = Net Income/Total Assets
IML = (I. Income-I. Expense)/Total Loans
CoF = I. Expense/Total Dana
CoE = Total Expense/Total Earning Assets
_____________________________________________
* Source: Kashmir (2008)

All data gathering from the financial report directly

from the sample website

This hypothesis testing conducted to test how accurate CAMEL ratio able to predict the condition of
distress and non-distress of a company. In the post
test, hypothesis testing is done to determine the significance of partial CAMEL ratio as a predictor of
bank distress probability. The steps performed in
this test as follows: feasibility of regression models
in analyzing the early classification to each group
proxy.
4.2 Results
Referring to Table 6 containing Implications and
Significance CAR approach, there are three ratios
having significant effect, namely: CRi GPM and
NPM. From the three ratios, two of them have negative implications for bank distress probability, which
are the capital risk and net income. Moreover, gathered capacities of CAMEL ratio as the initial sample classifiers in the distress and non-distress category are in the range of 78.7% - 91.4%.
From Table 7, the results obtained if the management does not improve, it actually increases the
probability of a bank experiencing distress. Other
findings, CAR and ROA variable have a negative
implication on the probability of distress, this means
that if there is a positive change in the level of capital adequacy, and then it is actually lowering the
probability for bank in experiencing distress probability.

3.2.1 Data Analysis

3.2.2 Techniques
This study used logistic regression model as follow:
Ln [odds (SX1,X2,Xk)] = Ln p/(1-p)=Yn= +_1
QR+2IPR+3BR+4ALR+5CR+6DRR+7RA+
8CRa+9CRi+10GPM+11NPM+12NITA+13
IML+14CoF+15CoE
Yn=CAR,LDR,ROA,NPL,BOPO
Equation on the post-test:
Ln p/(1-p)=Y= +_1 CAR+_2
ROA+_4 NPL+_5 BOPO

LDR+_3

With the following provisions:

Y = 0 = Non Distress; If the sample has a CAMEL
financial ratios BI minimum requirements and only breaking 1 CAMEL ratio

On the other hand, LDR, NPL, and BOPO ratio have

a significant positive impact, in other words changes
in these three ratios will increase the probability of
bank experiencing distress. ROA variable have
negative implications even though it have an insignificant effect on the distress probability. In Overall
CAMEL ratio has the capacity to explain fluctuations distress probability at 39.5% while the remaining 60.5% are other variables that are not used on
this research. Furthermore, the results of the initial
classification of the combined ratio of CAMEL have
a large enough capacity in determining sample in
distress and non-distress category correctly, which is
about 82.4%.

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Table
6. Implications and Significance
____________________________________________________________________________________________
Variable

CAR Model

LDR Model

Sig.t

Sig.t

ROA Model

Sig.t

NPL Model

Sig.t

BOPO Model

Sig.t

____________________________________________________________________________________________
QR
.672
BR
-2.866
IPR
1.967
ALR
.001
CR
-.031
DRR
4.494
RAR
.004
CRa
-1.980
Cri
-9.462
NITA
2.272
GPM
2.935
NPM
-5.485
IML
6.161
CoF
-.112
CoE
6.881
Constant
5.355
Nagelkerke R2
(%)
Classification (%)
* Source: Processed data

.800
.197
.284
.930
.560
.477
.902
.542
.011
.183
.044
.001
.162
.262
.501
.011

1.022
-1.676
-1.201
.001
.014
-2.577
.005
1.163
.266
-1.631
1.859
-.961
.191
.057
30.495
2.879

.706
.264
.373
.901
.851
.255
.878
.395
.922
.033
.154
.500
.916
.635
.085
.063

2.204
-5.347
-.026
-.002
.010
38.102
-1.335
-7.198
-6.889
.294
4.375
2.495
-2.146
-.017
1.169
2.822

-3.978
.721
5.300
.001
.345
6.849
.005
-4.493
-4.950
.201
2.680
-1.697
10.696
-.017
14.108
.720

.024
.732
.006
.927
.161
.241
.892
.113
.172
.852
.077
.342
.027
.914
.198
.717

12.43

6.76

27.59

14.97

91.4

89.4

89.6

90.5

Table 7 Post-Test Results of CAMEL Ratio

Variable

Sig.

CAR

-3.147

.108

LDR

3.598

.000

ROA

-.598

.877

NPL

10.705

.000

BOPO

10.202

.000

Constant

-13.365

.000

N.R2
Classification

.395
Sample

% Correct

NON DISTRESS

305

94.4

DISTRESS

51

46.8

Aggregate (%)

.460
.027
.988
.964
.861
.000
.679
.043
.310
.790
.011
.183
.132
.869
.924
.205

82.4

* Source: Results Data

5. DISCUSSION
The calculation results shows that CAR have a negative implication but insignificant to the probability
of bank distress. These results support the studies
conducted Harjanti & Sampurno (2011), Nugroho &
Sampurno (2011), Almilia & Herdinigtyas (2005),
Martharini & Mahfud (2012), Asmoro & Widyarti
(2010), Pratiwi (2011), Nugroho (2012) and Susanto
& Njit (2012) which states that a high CAR means
of capital assets held to underwrite the risk is also
higher so the lower probability for bank distress because of capital owned by the banks is bigger. This
study does not support the results of study conducted

4.304
-2.630
2.325
-.002
.023
20.119
-16.06
-5.952
2.726
.567
1.756
2.015
.495
.768
-6.579
1.827

.082
.094
.105
.942
.669
.003
.017
.045
.369
.474
.103
.143
.722
.097
.247
.192
13.18
78.7

by Wongsosudono & Chrissa (2013), Prasetyo &

Pangestuti (2011) and Sumantry & Jurnali (2010),
which stated that CAR had a positive effect on the
bank distress probability.
The empirical results indicate that LDR has a positive impact and significant effect, or in other words,
poor liquidity management will increase the probability of bank distress. This study support Pratiwi
(2011), Wongsosudono & Chrissa (2013) studies, as
well as Nugroho & Sampurno (2011) which also
states that LDR has a positive impact on the probability of bank distress. In contrast, this study does
not support Asmoro & Widyarti (2010), Nugroho
(2012), Prasetyo & Pangestuti (2011), Harjanti &
Sampurno (2011), Sumantry & Jurnali (2010), Martharini & Mahfud (2012), as well as Susanto & Njit
(2012) studies which states that LDR has negative
implications on the probability of bank distress.
Rentability aspects indicate a bank's ability to generate earnings represent by ratio is ROA and BOPO.
The results show that ROA has a negative implication even though with insignificant effect on the
bank distress probability. These results support conducted Asmoro & Widyarti (2010), Pratiwi (2011),
Wongsosudono & Chrissa (2013), Harjanti & Sampurno (2011), Nugroho & Sampurno (2011), Almilia
& Herdinigtyas (2005), Martharini and Mahfud
(2012), and Susanto and Njit (2012) studies which
states if a high CAR means of capital assets held to
underwrite the risk is also higher and the probability
of distress is lower because of the capital owned by
banks is bigger. This study does not support the re-

The 3rd International Congress on Interdisciplinary Behavior & Social Science 2014 | 368

sults of Prasetyo & Pangestuti (2011) and Sumantry

& Jurnali (2010), which were both agree that CAR
has a positive effect on the bank distress probability.
On the other hand this study does not support previous research conducted by Nugroho (2012), Prasetyo & Pangestuti (2011), Harjanti & Sampurno
(2011), Nugroho & Sampurno (2011), Sumantry &
Jurnali (2010), Martharini & Mahfud (2012), Susanto & Njit (2012) study which states that ROA have
positive implication on the bank distress probability.

6.2.Research implications
The result of this study indicates that the bank's financial ratios can be used as a financial distress prediction tool prior to bankruptcy. The study then attempted to see the CAMEL capability in classifying
companys distress and non-distress condition and in
parallel re-examined CAMEL ratio as a distress
conditions probability predictor.
6.3.Limitations

The empirical results indicate that BOPO has a positive impact and significant effect, or in other words
poor operational management will ultimately increase the bank probability in a state of distress. The
results of this study are supporting the study of Nugroho & Sampurno (2011) and Nugroho (2012). In
contrary, this study does not support the studies conducted by Asmoro & Widyarti (2010), Pratiwi
(2011), Prasetyo & Pangestuti (2011), Harjanti &
Sampurno (2011), Nugroho & Sampurno (2011),
Almilia & Herdinigtyas (2005), Martharini and
Mahfud (2012) which states that BOPO has a positive impact on the probability of bank distress. The
result of this study does not support the conducted
Sumantry and Jurnali (2010) and Susanto and NJIT
(2012) studies which states that the ROA actually
negatively affect the probability of bank distress.
The calculation results shows that NPL have a positive and significant implication on the bank distress
probability or in other words, if the credit/loan management is not performing as it should, then just a
matter of time a bank will experience distress. Thus,
this study supports the study by Pratiwi (2011), Nugroho (2012), Prasatio and Pangestuti (2011), Harjanti and Sampurno (2011), Nugroho and Sampurno
(2011), Almilia and Herdinigtyas (2005), as well as
Martharini and Mahfud (2012). Instead of this study
do not support the studies conducted by Asmoro and
Widyarti (2010), Sumantri and Jurnali (2010) and
Susanto and Njit (2012) which states that the NPL
has negative implications on the bank distress probability.
6 CONCLUSIONS AND RECOMMENDATIONS
6.1. Conclusions
Based on the calculation results are as follows: a)
exploration of CAMEL ratios as early samples classificator have classification power with a range of
78.7% -91.4%. While the proxy capacity of liquidity, solvency, and profitability as a probability predictor of bank distress are range between 6.76% 27.59%. A model which is formed from the CAMEL
ratio is sufficiently good, for example by correctly
classifying samples by 82.4%.

There are several limitations of this study, it is recommended for the following research: 1) Longer observation period and a larger number of samples, 2)
Ratio The wider range of financial ratios for example performance with added value such as Economic Value Added, Market Value Added and Cash
Value Added.
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