Modifikasi Pembobotan Systemic Important Score dengan Principal Component Analysis
DOI : DOI: 10.21002/jepi.v18i2.748
Date : 1 January 2018
Weighting Modification of Systemic Important Score with Principal ComponentÃÂÃÂ AnalysisAbstractThe Financial Services Authority regulation No.46/POJK.03/2015 states that the calculation of Systemic ImportantÃÂÃÂ Score (SIS) of a bank uses the same weighting for all three indicators: size, interconnectedness, and complexity. ItÃÂÃÂ disowns the possibility that one those indicators may give more contribution in determining the data structure ofÃÂÃÂ SIS assessment component than the others. This study oers an alternative weighting system to calculate SIS. TheÃÂÃÂ weighting system is based on eigenvectors of Principal Component Analysis by starting with standardizing the data.ÃÂÃÂ The simulation results show that the order of banking systemic levels in Indonesia from the highest are banking BUSNÃÂÃÂ Devisa, Persero, Asing and BPD, Campuran, and BUSN Non Devisa.Keywords: Eigenvectors; Principal Component Analysis; Standardization Data; Systemic Important ScoreAbstrakPeraturan Otoritas Jasa Keuangan No. 46/POJK.03/2015 menetapkan bahwa perhitungan Systemic ImportantÃÂÃÂ Score (SIS) suatu bank menggunakan pembobotan yang sama besar untuk ketiga indikatornya: size,ÃÂÃÂ interconnectedness, dan complexity. Hal ini menafikan kemungkinan terdapatnya indikator yang berkontribusiÃÂÃÂ lebih besar dalam menentukan struktur data komponen penilaian SIS dibandingkan indikator lainnya.ÃÂÃÂ Penelitian ini menawarkan alternatif sistem pembobotan dalam perhitungan nilai SIS tersebut. SistemÃÂÃÂ pembobotan tersebut adalah berdasarkan nilai eigenvectors dari Principal Component Analysis denganÃÂÃÂ melakukan standardisasi data terlebih dahulu. Hasil simulasi menunjukkan urutan tingkat sistemikÃÂÃÂ kelompok perbankan di Indonesia dari yang paling tinggi adalah perbankan BUSN Devisa, Persero, AsingÃÂÃÂ dan BPD, Campuran, dan BUSN Non Devisa.
