Asset liability management in Indonesian banking industry with special reference to interest rate risk management of PT. Bank Central Asia tbk
This thesis attempts to measure the interest rate risk exposure in PT Bank Central Asia Tbk and Indonesian Banking Industry. Banking sector is recognized to have the greatest interest rate risk exposure and changes in interest rates which can affect profitability encourage the author to conduct a research to address the interest rates risk issues in Indonesian Banking Industry. The thesis aims to measure the correlation between interest rate risk and profitability, and determine whether Indonesian Banking Industry is an asset sensitive or liabilities sensitive industry with gap analysis and profitability measures such as return on asset and return on equity as methods used. The result describes that there is no correlation between interest rate risk and profitability in PT Bank Central Asia Tbk. PT. Bank Central Asia Tbk is proven to be a liabilities sensitive bank for the years 2007 ? 2012. In contrast, the industry is proven to have positive gap ratio which makes it an asset sensitive industry. Several recommendations based on the results addressed to PT. Bank Central Asia Tbk, Indonesian Banking Industry, and potential investors are also discussed in this thesis.
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