ANALISIS RBC DENGAN RASIO PENCAPAIAN DAN METODE STRESS TESTING: STUDI KASUS ASURANSI JIWA DI INDONESIA

Anasthacia .; Chaerunnisa Widiani; Nathasya Christo; Maharmabi Dwi; Dewi Hanggraeni

doi:10.31955/mea.v5i1.828

Anasthacia . Universitas Indonesia, Depok
Chaerunnisa Widiani Universitas Indonesia, Depok
Nathasya Christo Universitas Indonesia, Depok
Maharmabi Dwi Universitas Indonesia, Depok
Dewi Hanggraeni Universitas Indonesia, Depok

DOI: https://doi.org/10.31955/mea.v5i1.828

Abstract

Aims to identify components of risk based capital and analyze the causal relationship between credit and market risk ratios. This study analyzes the risk components of RBC to see the phenomenon of the composition of risk in each quarterly period. Supporting analysis with stress testing was also carried out using testing with Engle Granger Cointegration to estimate cointegration between variables. The VAR Model is also used to estimate the long-term causality relationship and the Impulse Response Function (IRF) and Vector Decomposition is used to analyze the short-term dynamics among variables.

The study found that market risk which has the largest proportion and credit risk which has a smaller proportion than market risk. The effect of these two risks is supported by the findings that the variables are integrated in order 1 or I(1), and there is no cointegration among variables. Furthermore, the results of the VAR Model show that credit risk has more impact on the solvability ratio. Then, the IRF/VDC test results prove a strong causal relationship between the solvability ratio and the credit risk.

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