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Agustinus Erick - One of the best experts on this subject based on the ideXlab platform.

  • ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PROFITABILITAS PADA BANK UMUM SWASTA NASIONAL DEVISA YANG TERDAFTAR DI BURSA EFEK INDONESIA
    'Universitas Pamulang', 2021
    Co-Authors: Mulyani Nani, Agustinus Erick
    Abstract:

    Tujuan. Tujuan penelitian ini adalah untuk mengetahui pengaruh CAR, BOPO, LDR dan NIM baik secara parsial dan secara simultan terhadap Profitabilitas Pada Perbankan Umum Swasta Nasional Devisa Yang Terdaftar di Bursa Efek Indonesia tahun 2015-2019.Metode. Metode penelitian yang digunakan dalam penelitian adalah Asosiatif. Populasi yang digunakan dalam penelitian ini adalah 22 perbankan umum swasta nasional devisa yang terdaftar di Bursa Efek Indonesia tahun 2015-2019. Sampel penelitian ini adalah 11 pebankan Umum Swasta Nasional Devisa. Teknik pengambilan sampel menggunakan purposive sampling. Teknik analisis data menggunakan regresi data panel.Hasil. Hasil penelitian menunjukkan bahwa: Capital adeuency ratio tidak berpengaruh terhadap Profitabilitas. Biaya operasional pendapatan operasional tidak berpengaruh terhadap profitabilitas. Loan to Deposit Ratio tidak berpengaruh terhadap profitabilitas. Net Interest Margin berpengaruh terhadap profitabilitas. Capital Adeuency Ratio, Biaya Operasional Pendapatan Operasional, Loan to Deposit Ratio, dan Net Interest Margin secara simultan berpengaruh terhadap Profitabilitas pada Bank Umum Swasta Nasional Devisa yang terdaftar di Bursa Efek Indonesia periode tahun 2015-2019.Implikasi. Bagi investor diharapkan untuk mempertimbangkan Capital Adequency Ratio, Biaya Operasional Pendapatan Operasional, Loan to Deposit Ratio, dan Net Interest Margin sebelum menginvestasikan dananya pada suatu perbankan keempat rasio tersebut terbukti memiliki hubungan dengan Profitabilitas

Jyhhorng Lin - One of the best experts on this subject based on the ideXlab platform.

  • insurer Interest Margin management default risk and life insurance policyholder protection
    Journal of Modelling in Management, 2018
    Co-Authors: Jyhhorng Lin, Fu-wei Huang
    Abstract:

    This paper aims to theoretically examine the effects of regulatory policyholder protection on spread behavior and default probability of a life insurance company.,The authors construct a contingent claim model for the valuation of the equity of a life insurance company. Then, they extend it to model default risk measures associated with a more appropriate behavioral mode of strategic invested asset rate-setting under regulation.,The findings established that the optimal insurer Interest Margin is explicitly modeled by a spread between the loan rate and the required guaranteed rate of the company. The effect of the guaranteed rate on the insurer Interest Margin is positive when the barrier is low, whereas it is negative when the barrier is high. As the barrier increases, the positive effect of the guaranteed rate on the default risk is increased, the negative effect of the participation on the insurer Interest Margin is decreased and the positive effect of the participation on the default risk is decreased.,Several results derived that should be of Interest to investors, analysts, supervising agencies and policymakers. For example, policyholders protected by increasing the guaranteed rate may create a higher risk for the life insurance company to meet its obligations.,The authors’ approach is a significant departure from the existing literature; they differentiate among path-dependent, barrier options and suggest that the life insurance company’s defaults are more commonly triggered by regulatory responses than debt default.

  • Bank Interest Margin, Multiple Shadow Banking Activities, and Capital Regulation
    MDPI AG, 2018
    Co-Authors: Jyhhorng Lin, Shi Chen, Fu-wei Huang
    Abstract:

    In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabilities that integrates the premature default risk conditions with loan rate-setting behavioral mode and multiple shadow banking activities under capital regulation. The barrier options theory of corporate security valuation is applied to the contingent claims of a bank. The barrier reports that default can occur at any time before the maturity date. We focus on a type of earning-asset portfolio, consisting of balance-sheet banking activities of loans and liquid assets and shadow banking activities of wealth management products (WMPs) and entrusted loans (ELs). The optimal bank Interest Margin, i.e., the spread between the loan rate and the deposit rate, is derived and analyzed. The results provide an alternative explanation for the decline in bank Interest Margins, which better fits the narrative evidence on bank spread behavior under capital regulation in particular during a financial crisis. Raising either WMPs or ELs leads to a transfer of wealth from equity holders to the debt holders, and hence increases the deposit insurance liabilities. We also show that the multiple shadow banking activities of WMPs and ELs captured by scope equities may produce superior return performance for the bank. Tightened capital requirements may reinforce the superior return performance by a surge in shadow banking activities that makes the bank less prudent and more prone to risk-taking at a reduced Margin, thereby adversely affecting banking stability. We demonstrate that financial disturbance may be created because of the potential for shadow banking activities to spill over to regular banking activities and damage the real economy

  • Bank Interest Margin, multiple shadow banking activities, and capital regulation
    'MDPI AG', 2018
    Co-Authors: Jyhhorng Lin
    Abstract:

    [[abstract]]In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabilities that integrates the premature default risk conditions with loan rate-setting behavioral mode and multiple shadow banking activities under capital regulation. The barrier options theory of corporate security valuation is applied to the contingent claims of a bank. The barrier reports that default can occur at any time before the maturity date. We focus on a type of earning-asset portfolio, consisting of balance-sheet banking activities of loans and liquid assets and shadow banking activities of wealth management products (WMPs) and entrusted loans (ELs). The optimal bank Interest Margin, i.e., the spread between the loan rate and the deposit rate, is derived and analyzed. The results provide an alternative explanation for the decline in bank Interest Margins, which better fits the narrative evidence on bank spread behavior under capital regulation in particular during a financial crisis. Raising either WMPs or ELs leads to a transfer of wealth from equity holders to the debt holders, and hence increases the deposit insurance liabilities. We also show that the multiple shadow banking activities of WMPs and ELs captured by scope equities may produce superior return performance for the bank. Tightened capital requirements may reinforce the superior return performance by a surge in shadow banking activities that makes the bank less prudent and more prone to risk-taking at a reduced Margin, thereby adversely affecting banking stability. We demonstrate that financial disturbance may be created because of the potential for shadow banking activities to spill over to regular banking activities and damage the real economy.[[notice]]補正完

  • Sunflower management and life insurance: Modelling the CEO’s utility function
    2018
    Co-Authors: Jyhhorng Lin
    Abstract:

    [[abstract]]Purpose The purpose of this paper is to develop a theoretical framework to answer the following question: What are the consequences of sunflower behavior as well as spread behavior for how asset-liability management is administrated in a life insurance company? Design/methodology/approach This paper takes into account the following: the chief executive officer (CEO) of a life insurance company confirms the board of directors’ belief – the preference of the like of higher return relative to the dislike of higher risk; the authors call such behavior sunflower management; the life insurance policyholder is entitled to a guaranteed Interest rate and a participation percentage of the company’s investment surplus; and the authors examine the optimal insurer Interest Margin, i.e., the spread between the loan rate and the guaranteed rate. Findings Sunflower management translates into lower utility for the CEO and makes the CEO more prudent to risk-taking at an increased insurer Interest Margin for the provision of life insurance contracts. The effect of the guaranteed rate on the Margin is ambiguous and depends on the level of guarantee itself. An increase in the participation level decreases the CEO’s loan risk-taking at an increased Margin. It is shown that a trend toward higher return like of the board’s belief produces a corresponding trend toward the CEO’s decreasing risk-taking when the return like is revealed strongly. The results indicate that sunflower management as such is an important determinant in ensuring a safe insurance system. Originality/value This is the first paper to construct a contingent claim model to evaluate the expected value of the CEO’s utility function defined in terms of the equity returns and the equity risks of a life insurance company. The model explicitly considers CEO sunflower behavior, CEO spread behavior and the limited liability of shareholders.[[notice]]補正完

  • a barrier option framework for bank Interest Margin management under anticipatory regret aversion
    Economic Modelling, 2013
    Co-Authors: Jyhhorng Lin, Weiming Hung
    Abstract:

    This paper proposes a framework for bank equity valuation based on a path-dependent, barrier option model. A direct implication of this framework is that bank equity will be priced as a down-and-out call option. Using this approach, we examine how bank Interest Margin, i.e., the spread between the loan rate and the deposit rate, is determined when a bank is regret-averse. Regret-averse preferences are characterized by a down-and-in call, which is specified as the difference between a standard call and a down-and-out call. The model demonstrates how anticipatory regret aversion and the default barrier jointly determine an optimal bank Interest Margin decision. We find that a bank Interest Margin with a low level of default barrier is negatively related to anticipatory regret aversion and to the default barrier. Regret aversion and default barriers make a bank less prudent and more prone to risk-taking, thereby adversely affecting the stability of the banking system.

Fernando Perez De Gracia - One of the best experts on this subject based on the ideXlab platform.

  • banks net Interest Margin in the 2000s a macro accounting international perspective
    Journal of International Money and Finance, 2011
    Co-Authors: German Lopezespinosa, Antonio Moreno, Fernando Perez De Gracia
    Abstract:

    This paper re-examines the determinants of Net Interest Margin (NIM) in the banking industries of 15 developed and emerging economies. It presents three main contributions with respect to previous studies: first, we analyze the determinants of NIM in the years leading to the 2008 financial crisis; second, we account for the role of different accounting standards across countries; third, we use multi-way cluster estimation methodologies which control for cross-sectional and time-series dependence in macroeconomic and banking variables. We find that the introduction of International Financial Reporting Standards (IFRSs) contributed to lower NIM variations unexplained by standard accounting variables. Interest rate volatility is found to be positively and strongly related to NIM dynamics, whereas inflation risk is often found to be a relevant driver of NIM cross-country differences.

Mulyani Nani - One of the best experts on this subject based on the ideXlab platform.

  • ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PROFITABILITAS PADA BANK UMUM SWASTA NASIONAL DEVISA YANG TERDAFTAR DI BURSA EFEK INDONESIA
    'Universitas Pamulang', 2021
    Co-Authors: Mulyani Nani, Agustinus Erick
    Abstract:

    Tujuan. Tujuan penelitian ini adalah untuk mengetahui pengaruh CAR, BOPO, LDR dan NIM baik secara parsial dan secara simultan terhadap Profitabilitas Pada Perbankan Umum Swasta Nasional Devisa Yang Terdaftar di Bursa Efek Indonesia tahun 2015-2019.Metode. Metode penelitian yang digunakan dalam penelitian adalah Asosiatif. Populasi yang digunakan dalam penelitian ini adalah 22 perbankan umum swasta nasional devisa yang terdaftar di Bursa Efek Indonesia tahun 2015-2019. Sampel penelitian ini adalah 11 pebankan Umum Swasta Nasional Devisa. Teknik pengambilan sampel menggunakan purposive sampling. Teknik analisis data menggunakan regresi data panel.Hasil. Hasil penelitian menunjukkan bahwa: Capital adeuency ratio tidak berpengaruh terhadap Profitabilitas. Biaya operasional pendapatan operasional tidak berpengaruh terhadap profitabilitas. Loan to Deposit Ratio tidak berpengaruh terhadap profitabilitas. Net Interest Margin berpengaruh terhadap profitabilitas. Capital Adeuency Ratio, Biaya Operasional Pendapatan Operasional, Loan to Deposit Ratio, dan Net Interest Margin secara simultan berpengaruh terhadap Profitabilitas pada Bank Umum Swasta Nasional Devisa yang terdaftar di Bursa Efek Indonesia periode tahun 2015-2019.Implikasi. Bagi investor diharapkan untuk mempertimbangkan Capital Adequency Ratio, Biaya Operasional Pendapatan Operasional, Loan to Deposit Ratio, dan Net Interest Margin sebelum menginvestasikan dananya pada suatu perbankan keempat rasio tersebut terbukti memiliki hubungan dengan Profitabilitas

Rana Husna . Mahdiyyah - One of the best experts on this subject based on the ideXlab platform.

  • PENGARUH NPL, NIM, BOPO, LDR, DAN PROFITABILITAS TERHADAP CAPITAL ADEQUACY RATIO (CAR) PADA BANK UMUM SWASTA NASIONAL DEVISA DI INDONESIA PERIODE 2014 – 2018
    2021
    Co-Authors: Rana Husna . Mahdiyyah
    Abstract:

    Penelitian ini bertujuan untuk mengetahui pengaruh rasio-rasio keuangan terhadap rasio kecukupan modal pada BUSN Devisa di Indonesia Periode 2014 – 2018. Variabel independen yang digunakan dalam penelitan ini adalah Non Performing Loan (NPL), Net Interest Margin (NIM), Beban Operasional Pendapatan Operasional (BOPO), Loan To Deposit Ratio (LDR), serta Proksi Profitabilitas yaitu Return on Equity (ROE) dan Return on Assets (ROA). Variabel dependen yang digunakan adalah Capital Adequacy Ratio (CAR). Data yang digunakan dalam penelitian ini berupa laporan publikasi triwulanan perbankan BUSN Devisa yang terdaftar di Otoritas Jasa Keuangan (OJK) periode 2014 – 2018 (200 observasi). Metode pengambilan sampel yang digunakan dalam penelitian ini menggunakan metode purposive sampling dengan balanced panel data. Sampel dari penelitian ini sebanyak 10 jenis BUSN Devisa di Indonesia periode 2014 – 2018. Model yang digunakan dalam penelitian ini adalah data panel dengan pendekatan random effect model. Hasil penelitian menunjukkan bahwa NIM berpengaruh positif signifikan terhadap CAR. BOPO, LDR, dan Profitabilitas berpengaruh negatif signifikan terhadap CAR. The aim of study is to see the effect of financial ratios on capital adequacy ratios in foreign exchange BUSN in Indonesia for the 2014 – 2018 period. The independent variables used in this research are Non Performing Loan (NPL), Net Interest Margin (NIM), Operating Expenses and Operating Income (BOPO), Loan To Deposit Ratio (LDR), also Proxy of Profitability i.e. Return on Equity (ROE) and Return on Assets (ROA). The dependent variable used is the Capital Adequacy Ratio (CAR). The data used in this study are in the form of Foreign Exchange Banking banking quarterly publication reports recorded in the Otoritas Jasa Keuangan (OJK) for the period 2014 - 2018 (200 observations). The sampling method used in this study was purposive sampling method with balanced panel data. The sample of this study was 10 types of foreign exchange BUSN in Indonesia period 2014 - 2018. The model used in this study is a data panel with a random effects model approach. The results showed that NIM has a significant positive effect on CAR. BOPO, LDR and Profitability have a significant negative effect on CAR

  • PENGARUH NPL, NIM, BOPO, LDR, DAN PROFITABILITAS TERHADAP CAPITAL ADEQUACY RATIO (CAR) PADA BANK UMUM SWASTA NASIONAL DEVISA DI INDONESIA PERIODE 2014 – 2018
    'Universitas Negeri Jakarta', 2021
    Co-Authors: Rana Husna . Mahdiyyah, Umi Mardiyati
    Abstract:

    Penelitian ini bertujuan untuk mengetahui pengaruh rasio-rasio keuangan terhadap rasio kecukupan modal pada BUSN Devisa di Indonesia Periode 2014 – 2018. Variabel independen yang digunakan dalam penelitan ini adalah Non Performing Loan (NPL), Net Interest Margin (NIM), Beban Operasional Pendapatan Operasional (BOPO), Loan To Deposit Ratio (LDR), serta Proksi Profitabilitas yaitu Return on Equity (ROE) dan Return on Assets (ROA). Variabel dependen yang digunakan adalah Capital Adequacy Ratio (CAR). Data yang digunakan dalam penelitian ini berupa laporan publikasi triwulanan perbankan BUSN Devisa yang terdaftar di Otoritas Jasa Keuangan (OJK) periode 2014 – 2018 (200 observasi). Metode pengambilan sampel yang digunakan dalam penelitian ini menggunakan metode purposive sampling dengan balanced panel data. Sampel dari penelitian ini sebanyak 10 jenis BUSN Devisa di Indonesia periode 2014 – 2018. Model yang digunakan dalam penelitian ini adalah data panel dengan pendekatan random effect model. Hasil penelitian menunjukkan bahwa NIM berpengaruh positif signifikan terhadap CAR. BOPO, LDR, dan Profitabilitas berpengaruh negatif signifikan terhadap CAR