THE EFFECTS OF DERIVATIVES, COMMITMENTS AND CONTINGENCIES ON BANKING RISK WITH CAPITAL ADEQUACY RATIO AS A MODERATING VARIABLE (In Banking Companies Listing On The Indonesia Stock Exchange In 2013-2018) Aeniyatul Muhaqiyah, Rimi Gusliana Mais and Harry Indradjit Soeharjono
Sekolah Tinggi Ilmu Ekonomi Indonesia Jakarta, Indonesia
This study aims to examine the effect of derivatives, commitments and contingencies on bank risk with Capital Adequacy Statistics as a moderating variable on banking companies listed on the Indonesia Stock Exchange (IDX). This research is a quantitative study, measured using a panel data regression based method with eviews. The population of this study is the banking companies listed on the Indonesia Stock Exchange (IDX) in 2013-2018. The sample is determined based on the purposive sampling method, with a total sample of 32 banking companies so that a total of 192 observations. The data used in this study are secondary data. Data collection techniques using the documentation method through the official website of IDX: www.idx.co.id. Hypothesis testing using t test. The research proves that: (1) Derivatives have a negative effect on bank risk which means that derivatives are used by banks for hedging. (2) Commitment has a positive effect on bank risk which means that commitment to lending at certain interest rates increases dependence on interest rate volatility so the use of commitment will increase risk. (3) However, contingencies are proven to have no effect on bank risk because they are used as collateral (contingencies) as a direct substitute for credit so that the counterparty is less likely to commit violations, so this does not affect bank risk. (4) Capital Adequacy Statistics can prove to weaken the negative influence of derivatives on bank risk which means that CAR determined by banks is intended to stabilize bank risk so that CAR will weaken the risk reduction due to derivative transactions. (5) Capital Adequacy Ratio is also proven to be able to weaken the positive influence of commitments on bank risk which means that CAR is more functioning to stabilize risk ie when a committed transaction increases risk, CAR will weaken the increase in risk. (6) However, Capital Adequacy Ratios cannot prove to weaken the positive effect of contingencies on bank risk, which means that there is a balance between administrative activities (contingencies) and reserves carried out so that they are not exposed to risk.
Keywords: Off Balance Sheet, Derivatives, Commitments, Contingencies, Capital Adequacy Ratio, Bank Risk.