Abstract :
The purposes of this research is to assess whether the prediction result of BRI?s
internal rating model is consistent with the prediction result of Altman bankruptcy model
and to analyze how the prediction result of BRI?s internal rating model and the
prediction result Altman bankruptcy model in predicting BRI?s credit risk. Data in this
research are the data of debtor?s financial ratios based on financial statements and the
collectability of each debtor. The sample of this research is the private manufacturing
companies which registered as debtors of BRI in the medium business category from
year 2002 to 2007.
The data analysis method used is statistical analysis. Descriptive statistical
analysis used in this research to describe the prediction result of all debtors which
calculated using BRI?s internal rating model and Altman bankruptcy model and also the
comparison with the collectability of BRI. Hypothesis will be tested by Spearman's Rank.
This research summarize that there is a consistency or correlation among two
research variables: between the prediction result of BRI?s internal rating model and the
prediction result of Altman bankruptcy model at 1% significant level. BRI's internal
rating model is accurate in predicting the debtors who do not default while Altman
bankruptcy model is accurate in predicting the default debtors. It means that BRI?s
internal rating model that exist today can continue to be used by BRI. However, BRI
should conduct a review of internal rating model using Altman bankruptcy model to
avoid an operating loss due to the high probability of default prediction.
Keywords: Internal Rating Model,Altman Bankruptcy Model.