Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks
This study examines the influence of macroeconomic shocks on credit risk within Indonesian sharia rural banks for a period of January 2010 to March 2020. This study employs Monte Carlo simulations and the Error Correction Model (ECM). The results indicate that GDP growth, inflation, and exchange rat...
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| Format: | Article |
| Language: | en |
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Universiti Teknologi MARA Selangor
2025
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| Online Access: | https://ir.uitm.edu.my/id/eprint/123797/1/123797.pdf https://ir.uitm.edu.my/id/eprint/123797/ https://journal.uitm.edu.my/ojs/index.php/JEEIR |
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| _version_ | 1847097760394772480 |
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| author | Rizky, Uvy Dian Mongid, Abdul |
| author_facet | Rizky, Uvy Dian Mongid, Abdul |
| author_sort | Rizky, Uvy Dian |
| building | Tun Abdul Razak Library |
| collection | Institutional Repository |
| content_provider | Universiti Teknologi Mara |
| content_source | UiTM Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | This study examines the influence of macroeconomic shocks on credit risk within Indonesian sharia rural banks for a period of January 2010 to March 2020. This study employs Monte Carlo simulations and the Error Correction Model (ECM). The results indicate that GDP growth, inflation, and exchange rate are significantly influence the Nonperforming financing (NPF) in the long term, while interest rate have a considerable impact on the NPF in the short term. Meanwhile, financing or credit growth has no substantial impact on the NPF in either the long term or short term. The stress test results indicate that Indonesian Islamic rural banks have a high probability of default with a forecasted NPF rate of 10.91%, a differential maximum NPF of 0.33 % at a confidence level of 95%. Therefore, it is suggested that the banks should note that the exchange rate has a strong effect on NPF, and anticipate the high probability of default with sufficient capital to cover losses. |
| format | Article |
| id | my.uitm.ir-123797 |
| institution | Universiti Teknologi Mara |
| language | en |
| publishDate | 2025 |
| publisher | Universiti Teknologi MARA Selangor |
| record_format | eprints |
| spelling | my.uitm.ir-1237972025-10-15T08:13:04Z https://ir.uitm.edu.my/id/eprint/123797/ Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks jeeir Rizky, Uvy Dian Mongid, Abdul Bank loans. Bank credit. Commercial loans Finance, Islamic This study examines the influence of macroeconomic shocks on credit risk within Indonesian sharia rural banks for a period of January 2010 to March 2020. This study employs Monte Carlo simulations and the Error Correction Model (ECM). The results indicate that GDP growth, inflation, and exchange rate are significantly influence the Nonperforming financing (NPF) in the long term, while interest rate have a considerable impact on the NPF in the short term. Meanwhile, financing or credit growth has no substantial impact on the NPF in either the long term or short term. The stress test results indicate that Indonesian Islamic rural banks have a high probability of default with a forecasted NPF rate of 10.91%, a differential maximum NPF of 0.33 % at a confidence level of 95%. Therefore, it is suggested that the banks should note that the exchange rate has a strong effect on NPF, and anticipate the high probability of default with sufficient capital to cover losses. Universiti Teknologi MARA Selangor 2025-01 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/123797/1/123797.pdf Rizky, Uvy Dian and Mongid, Abdul (2025) Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks. (2025) Journal of Emerging Economies & Islamic Research <https://ir.uitm.edu.my/view/publication/Journal_of_Emerging_Economies_=26_Islamic_Research.html>, 13 (1): 2. pp. 1-19. ISSN 2289-2559 https://journal.uitm.edu.my/ojs/index.php/JEEIR 10.24191/jeeir.v13i1.2135 10.24191/jeeir.v13i1.2135 10.24191/jeeir.v13i1.2135 |
| spellingShingle | Bank loans. Bank credit. Commercial loans Finance, Islamic Rizky, Uvy Dian Mongid, Abdul Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks |
| title | Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks |
| title_full | Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks |
| title_fullStr | Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks |
| title_full_unstemmed | Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks |
| title_short | Stress test of credit risk using Monte Carlo simulation: Indonesian sharia rural banks |
| title_sort | stress test of credit risk using monte carlo simulation: indonesian sharia rural banks |
| topic | Bank loans. Bank credit. Commercial loans Finance, Islamic |
| url | https://ir.uitm.edu.my/id/eprint/123797/1/123797.pdf https://ir.uitm.edu.my/id/eprint/123797/ https://journal.uitm.edu.my/ojs/index.php/JEEIR |
| url_provider | http://ir.uitm.edu.my/ |