Modifikasi Pembobotan Systemic Important Score dengan Principal Component Analysis

Samsul Anwar

Abstract


Weighting Modification of Systemic Important Score with Principal Component Analysis

Abstract
The Financial Services Authority regulation No.46/POJK.03/2015 states that the calculation of Systemic Important Score (SIS) of a bank uses the same weighting for all three indicators: size, interconnectedness, and complexity. It disowns the possibility that one those indicators may give more contribution in determining the data structure of SIS assessment component than the others. This study oers an alternative weighting system to calculate SIS. The weighting system is based on eigenvectors of Principal Component Analysis by starting with standardizing the data. The simulation results show that the order of banking systemic levels in Indonesia from the highest are banking BUSN Devisa, Persero, Asing and BPD, Campuran, and BUSN Non Devisa.

Keywords: Eigenvectors; Principal Component Analysis; Standardization Data; Systemic Important Score


Abstrak
Peraturan Otoritas Jasa Keuangan No. 46/POJK.03/2015 menetapkan bahwa perhitungan Systemic Important Score (SIS) suatu bank menggunakan pembobotan yang sama besar untuk ketiga indikatornya: size, interconnectedness, dan complexity. Hal ini menafikan kemungkinan terdapatnya indikator yang berkontribusi lebih besar dalam menentukan struktur data komponen penilaian SIS dibandingkan indikator lainnya. Penelitian ini menawarkan alternatif sistem pembobotan dalam perhitungan nilai SIS tersebut. Sistem pembobotan tersebut adalah berdasarkan nilai eigenvectors dari Principal Component Analysis dengan melakukan standardisasi data terlebih dahulu. Hasil simulasi menunjukkan urutan tingkat sistemik kelompok perbankan di Indonesia dari yang paling tinggi adalah perbankan BUSN Devisa, Persero, Asing dan BPD, Campuran, dan BUSN Non Devisa.


Keywords


Eigenvectors; Principal Component Analysis; Standardisasi Data; Systemic Important Score

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References


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DOI: http://dx.doi.org/10.21002/jepi.v18i2.748

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