Probability of Default Bank Umum di Indonesia: Alternatif dalam Implementasi Sisitem Premi Deferensial

Abstract

The Indonesian Deposit Insurance Corporation (LPS) initially imposed the flat rate premium system, the same premium rate for all banks, which is 0.2% of the total third party funds (DPK) of commercial banks. However; when there is a change in the value of deposits guaranteed, LPS needs to change from the flat rate premium system to the Differential Premium System. This study uses Probability of Default (PoD), derived from the Merton Model (1974), for each individual Commercial Bank in Indonesia in implementing the Differential Premium System as the mandate of Article 15 paragraph (1) of the Law. Thus, each individual bank will pay a premium in accordance with the probability of default to LPS. This study finds that the average of probability of default of all commercial banks in the period 2002-2014 reaches 57.12%. Bank that has the smallest average Probability of Default (PoD) is Bank 151  with a PoD of 14.10% and an AA category rating. The second position is Bank 427 with a PoD of 18.20% and a rating of A. While the third position is Bank 14 with a PoD of 18.70% also with a rating of A. This study finds that the Differential Premium System in Indonesia can be implemented, given that LPS revenue will not be reduced much or at least close to the flat rate premium system, when LPS imposes the Differential Premium System.