Abstrak Analisis Pengaruh Risiko Pasar Terhadap Rasio Kecukupan Modal Bank PERIODE TAHUN 2005 - 2007 Studi Kasus Pada PT Bank DKI, Jakarta Pusat
Abstrak Analisis Pengaruh Risiko Pasar Terhadap Rasio Kecukupan Modal Bank PERIODE TAHUN 2005 - 2007 Studi Kasus Pada PT Bank DKI, Jakarta Pusat
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ABSTRACT
The research aimed to seek out the steps of market risk management in bank
and to seek out the effect of market risk toward bank capital adequacy ratio. The
background of the research is that obligation of market risk valuation and its effect
toward bank capital adequacy ratio, capital are the important factor of bank’s healthy
level valuation.
The research was a case study. Interview and documentation method were used
to collect the data. The data were analyzed by using multiple linear regression
technique.
The steps of market risk management consisted of identification, valuation,
supervision, control, and emergency plan. Based on F test, it was found P-value
0.000 < 0.05 (level of significance) so H01 was rejected, that meant there was
negative effect of market risk toward bank’s capital adequacy ratio. Based on t test of
interest rate risk variabel it was found P-value 0.000 < 0.05 (level of significance) so
H02 was rejected, that meant there was negative effect of interest rate risk toward
bank’s capital adequacy ratio. Based on t test of foreign exchange risk variabel it was
found P-value 0.115 < 0.05 (level of significance) so H03 was couldn’t be rejected,
that meant there was no effect of foreign exchange risk toward bank’s capital
adequacy ratio. Therefore, this research found the existence of negative effect of
market risk toward bank’s capital adequacy ratio, and variabel which gave negative
effect was interest rate risk, whereas foreign exchange did not give any effect toward
bank’s capital adequacy ratio.
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