80 Lampiran 4 Perhitungan VaR Skenario 3
Kondisi : Jika peluang perpindahan tiap kolektibilitas sama dengan 1 Baki Debet Kredit Mikro UMKM
Kolektibilitas Nilai Baki Debet Persentase
Lancar 7,604,041,000
93.90 K. Lancar
208,407,000 2.57
Diragukan 148,800,000
1.84 Macet
136,466,000 1.69
Total Bak 8,097,714,000
Nilai baki Debet dengan Bunga Kolektibil
Tahun1 Baki debet
PV FV
Total Value Outstanding Lancar
21 7,604,041,000
1,596,848,610.00 1,287,781,137.10
2,884,629,747.10 KL
21 208,407,000
43,765,470.00 35,294,733.87
79,060,203.87 D
21 148,800,000
31,248,000.00 25,200,000.00
56,448,000.00 M
21 136,466,000
28,657,860.00 23,111,177.42
51,769,037.42 Kolektibilitas Lancar
KolektibilProbabilitas Peluang Total value outstanding Bobot nilai per ratingselisih nilai baki debet Ragam Lancar
1.0000 2,884,629,747
2,884,629,747 187,277,241
35,072,765,105,313,800 K. Lancar
1.0000 79,060,204
79,060,204 2,992,846,785
8,957,131,875,588,530,000 Diragukan
1.0000 56,448,000
56,448,000 3,015,458,988
9,092,992,910,644,530,000 Macet
1.0000 51,769,037
51,769,037 3,020,137,951
9,121,233,242,875,630,000 Total Weighted PV
3,071,906,988 Variancetotal ragam
27,206,430,794,214,000,000 Dev. Standar volatilitas
5,215,978,411.98 Z Score 5
1.645 VaR 5
8,579,521,009.04 Z Score 1
2.326 VaR 1
12,134,180,289.75 Kolektibilitas Kurang Lancar
KolektibilProbabilitas Peluang Total value outstanding Bobot nilai per ratingselisih nilai baki debet Ragam Lancar
1.0000 2,884,629,747
2,884,629,747 187,277,241
35,072,765,105,313,800 K. Lancar
1.0000 79,060,204
79,060,204 2,992,846,785
8,957,131,875,588,530,000 Diragukan
1.0000 56,448,000
56,448,000 3,015,458,988
9,092,992,910,644,530,000 Macet
1.0000 51,769,037
51,769,037 3,020,137,951
9,121,233,242,875,630,000 Total Weighted PV
3,071,906,988 Variancetotal ragam
27,206,430,794,214,000,000 Dev. Standar volatilitas
5,215,978,411.98 Z Score 5
1.645 VaR 5
8,579,521,009.04 Z Score 1
2.326 VaR 1
12,134,180,289.75 Kolektibilitas Diragukan
KolektibilProbabilitas Peluang Total value outstanding Bobot nilai per ratingselisih nilai baki debet Ragam Lancar
1.0000 2,884,629,747
2,884,629,747 187,277,241
35,072,765,105,313,800 K. Lancar
1.0000 79,060,204
79,060,204 2,992,846,785
8,957,131,875,588,530,000 Diragukan
1.0000 56,448,000
56,448,000 3,015,458,988
9,092,992,910,644,530,000 Macet
1.0000 51,769,037
51,769,037 3,020,137,951
9,121,233,242,875,630,000 Total Weighted PV
3,071,906,988 Variancetotal ragam
27,206,430,794,214,000,000 Dev. Standar volatilitas
5,215,978,411.98 Z Score 5
1.645 VaR 5
8,579,521,009.04 Z Score 1
2.326 VaR 1
12,134,180,289.75 Kolektibilitas Macet
KolektibilProbabilitas Peluang Total value outstanding Bobot nilai per ratingselisih nilai baki debet Ragam Lancar
1.0000 2,884,629,747
2,884,629,747 187,277,241
35,072,765,105,313,800 K. Lancar
1.0000 79,060,204
79,060,204 2,992,846,785
8,957,131,875,588,530,000 Diragukan
1.0000 56,448,000
56,448,000 3,015,458,988
9,092,992,910,644,530,000 Macet
1.0000 51,769,037
51,769,037 3,020,137,951
9,121,233,242,875,630,000 Total Weighted PV
3,071,906,988 Variancetotal ragam
27,206,430,794,214,000,000 Dev. Standar volatilitas
5,215,978,411.98 Z Score 5
1.645 VaR 5
8,579,521,009.04 Z Score 1
2.326 VaR 1
12,134,180,289.75 Total Value at Risk Kredit MikZ Score 5
34,318,084,036.17 Z Score 1
48,536,721,158.99 Total Baki Debet Kredit Mikro UMKM
8,097,714,000 VaR dari Baki Debet
Persentase
Z Score 5 423.80
Persentase Z Score 1
599.39
81 Lampiran 5 Perhitungan VaR Skenario 4
Kondisi: Jika seluruh nilai Baki Debet Kredit meningkat 50 Baki Debet Kredit Mikro UMKM
Kolektibilitas Nilai Baki Debet
Persentase Lancar
11,406,061,500 93.90
K. Lancar 312,610,500
2.57 Diragukan
223,200,000 1.84
Macet 204,699,000
1.69 Total Bak 12,146,571,000
Nilai baki Debet dengan Bunga Kolektibil
Tahun1 Baki debet
PV FV
Total Value Outstanding Lancar
21 11,406,061,500
2,395,272,915.00 1,931,671,705.65
4,326,944,620.65 KL
21 312,610,500
65,648,205.00 52,942,100.81
118,590,305.81 D
21 223,200,000
46,872,000.00 37,800,000.00
84,672,000.00 M
21 204,699,000
42,986,790.00 34,666,766.13
77,653,556.13 Kolektibilitas Lancar
KolektibilProbabilitas Peluan
Total value outstandingBobot nilai per ratingselisih nilai baki debet Ragam Lancar
0.9996 4,326,944,621
4,325,171,219 2,044,511
4,178,311,106,157 K. Lancar
0.0322 118,590,306
3,817,913 4,210,398,826
570,720,229,598,157,000 Diragukan
0.0000 84,672,000
- 4,244,317,131
- Macet
0.0000 77,653,556
- 4,251,335,575
- Total Weighted PV
4,328,989,131 Variancetotal ragam
570,724,407,909,263,000 Dev. Standar volatilitas
755,463,042.05 Z Score 5
1.645 VaR 5
1,242,626,124.75 Z Score 1
2.326 VaR 1
1,757,469,841.80 Kolektibilitas Kurang Lancar
KolektibilProbabilitas Peluan
Total value outstandingBobot nilai per ratingselisih nilai baki debet Ragam Lancar
0.0004 4,326,944,621
1,773,402 4,206,740,779
7,252,994,060,543,690 K. Lancar
0.9634 118,590,306
114,246,494 1,613,535
2,508,133,553,083 Diragukan
0.0408 84,672,000
3,453,661 35,531,841
51,496,219,038,493 Macet
0.0094 77,653,556
730,284 42,550,285
17,026,897,387,031 Total Weighted PV
120,203,841 Variancetotal ragam
7,324,025,310,522,300 Dev. Standar volatilitas
85,580,519.46 Z Score 5
1.645 VaR 5
140,767,427.83 Z Score 1
2.326 VaR 1
199,090,059.50 Kolektibilitas Diragukan
KolektibilProbabilitas Peluan
Total value outstandingBobot nilai per ratingselisih nilai baki debet Ragam Lancar
0.0000 4,326,944,621
- 4,257,216,287
- K. Lancar
0.0044 118,590,306
525,899 48,861,972
10,587,548,992,646 Diragukan
0.7677 84,672,000
64,998,776 14,943,666
171,427,174,922,117 Macet
0.0541 77,653,556
4,203,659 7,925,222
3,400,079,030,139 Total Weighted PV
69,728,334 Variancetotal ragam
185,414,802,944,903 Dev. Standar volatilitas
13,616,710.43 Z Score 5
1.645 VaR 5
22,397,495.54 Z Score 1
2.326 VaR 1
31,677,205.36 Kolektibilitas Macet
KolektibilProbabilitas Peluan
Total value outstandingBobot nilai per ratingselisih nilai baki debet Ragam Lancar
0.0000 4,326,944,621
- 4,245,603,859
- K. Lancar
0.0000 118,590,306
- 37,249,544
- Diragukan
0.1018 84,672,000
8,621,149 3,331,238
1,129,891,195,260 Macet
0.9365 77,653,556
72,719,613 3,687,206
12,731,659,553,388 Total Weighted PV
81,340,762 Variancetotal ragam
13,861,550,748,648 Dev. Standar volatilitas
3,723,110.36 Z Score 5
1.645 VaR 5
6,123,971.58 Z Score 1
2.326 VaR 1
8,661,249.87 Total Value at Risk Kredit M
Z Score 5 1,411,915,019.69
Z Score 1 1,996,898,356.53
Total Baki Debet Kredit Mikro UMKM 12,146,571,000
VaR dari Baki Debet Persentase
Z Score 5 11.62
Persentase Z Score 1
16.44
