The Effects of Macroeconomics on Probability of Default for the Micro Business Segment

DOI

10.2991/aebmr.k.201222.017How to use a DOI?

Keywords

Credit Risk, Default, Probability of Default, Macroeconomics, Gross Domestic Product, Inflation, Exchange Rate, Unemployment Rate, Micro Business Segment

Abstract

This research explains the influences of macroeconomics on the Probability of Default (PD) for the micro business segment in Indonesia. The model used to measure credit risk indicators is based on Days Past Due (DPD) and collectability to calculate the PD in accordance with the company’s internal historical data. Then, multiple linear regression was performed to find out whether changes in macroeconomic variables consisting of Gross Domestic Product (GDP), inflation, the IDR exchange rate against the USD, and unemployment rate can affect the PD for the micro business segment in Indonesia. In the light of the results of statistical tests, it was found that macroeconomic changes, especially macroeconomic variables, such as inflation and the IDR exchange rate against the USD, have significant effects on the PD for the micro business segment for each loan bucket. The results of this research are expected to provide an overview of Indonesian banks in expanding loans, especially for the micro business segment, and be of use as a reference in developing credit risk measurement policies in order to improve the principle of prudence.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Putri Nur Aprilia Mulyana
AU  - Maria Ulpah
PY  - 2020
DA  - 2020/12/23
TI  - The Effects of Macroeconomics on Probability of Default for the Micro Business Segment
BT  - Proceedings of the International Conference on Business and Management Research (ICBMR 2020)
PB  - Atlantis Press
SP  - 116
EP  - 122
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.201222.017
DO  - 10.2991/aebmr.k.201222.017
ID  - Mulyana2020
ER  -