Determining Credit Risk Using Contingent Claim Model Approach (Merton Model); A Case Study of Indonesian Digital Banks

DOI

10.2991/978-94-6463-244-6_14How to use a DOI?

Keywords

Merton Model; Credit Risk; BOPO; NIM; LDR

Abstract

The Covid-19 pandemic in Indonesia has an unfavorable influence on the banking sector; not only economic and financial policies in adjusting conditions significantly affect companies, but people are also currently turning to the digital era with a relatively high number of customer increases. Thus, this study aims to measure credit risk at digital banks in Indonesia using the 1974 Merton model to assess the company’s bankruptcy and see the influence between BOPO, NIM, and LDR in it. The sample used was the five best digital banks according to the Bank Indonesia report in 2021, using the 1974 Merton model measurement method, standard deviation, calculating the distance to the default of each company, calculating the default probability using the distance to default, and empirical tests (influence). The results obtained are default withdrawals on digital banks in Indonesia, in general, it can be in say it is not good enough in terms of the effect of the empirical test results that have been carried out regarding the relationship between BOPO, NIM, and LDR on the default probability, the results of the BOPO variable coefficient are negative, the NIM variable coefficient is positive, and the LDR variable coefficient is negative.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Renea Shinta Aminda
AU  - Muhammad Jiddan Aziz
AU  - Titing Suharti
AU  - Jani Subakti
AU  - Sigit Wibowo
AU  - Anuraga Kusumani Subakti
PY  - 2023
DA  - 2023/09/30
TI  - Determining Credit Risk Using Contingent Claim Model Approach (Merton Model); A Case Study of Indonesian Digital Banks
BT  - Proceedings of the 20th International Symposium on Management (INSYMA 2023)
PB  - Atlantis Press
SP  - 74
EP  - 79
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-244-6_14
DO  - 10.2991/978-94-6463-244-6_14
ID  - Aminda2023
ER  -