Stress Test of BPRS and BUS Capital for the 2014-2022 Period Using the ECL Approach Stress test of the capital of the BPRS and the BUS for the period 2014-2022 using the ECL approach

The operation of BUS and BPRS cannot be separated from the risks experienced, one of which is capital risk. The capital stress test used to calculate the capital adequacy of BUS and BPRS is the calculation of Expected Credit Loss (expected loan loss). ECL is the result of multiplying PD, LGD, and EAD. This study aims to determine the assessment and differences in capital stress tests using the ECL approach in BUS and BPRS. This research uses a descriptive quantitative approach. The method used is purposive sampling. The samples of this study were 12 BUS and 3 BPRS. The data used is secondary data in the form of annual financial reports taken from the official websites of BUS and BPRS for 2014-2022. The results of this study indicate that the assessment of the capital stress test using the ECL approach on BUS is classified as stage 1 (performing), and BPRS is classified as stage 2 (under-performing). A significant difference was found between BUS and BPRS.

The operation of BUS and BPRS cannot be separated from the risks experienced, one of which is capital risk.The capital stress test used to calculate the capital adequacy of BUS and BPRS is the calculation of Expected Credit Loss (expected loan loss).ECL is the result of multiplying PD, LGD, and EAD.This study aims to determine the assessment and differences in capital stress tests using the ECL approach in BUS and BPRS.This research uses a descriptive quantitative approach.The method used is purposive sampling.The samples of this study were 12 BUS and 3 BPRS.The data used is secondary data in the form of annual financial reports taken from the official websites of BUS and BPRS for 2014-2022.The results of this study indicate that the assessment of the capital stress test using the ECL approach on BUS is classified as stage 1 (performing), and BPRS is classified as stage 2 (underperforming).A significant difference was found between BUS and BPRS.
The minimum banking capital regulation prepared by the Financial Services Authority Regulation Number 11/PJOK.03/2016states that the minimum banking capital adequacy is set at 8%-11% adjusted from risk-weighted assets (ATMR) at the level of risk profile faced.Meanwhile, the minimum capital adequacy that needs to be owned by BPRS is 8%, derived from riskweighted assets (RWA) (PJOK, 2022).Islamic banking faces many risks in its activities; capital risk is one of the risks it faces in maintaining capital requirements and growth Febiyanni & Hermanto, (2023).BPRS and BUS, in carrying out their operations, are also inseparable from the risks experienced, including capital risk.Poor capital risk mitigation can lead to potential bankruptcy Hartanto & Setijaningsih, (2023).Bankruptcy is the failure of a company or agency to carry out activities to achieve its goals; bankruptcy can occur over a very long period (Agustian & Syofyan, 2022).Sufitri's (2019) research explains that bankruptcy in BPRS and BUS can be caused by a lack of fulfilment of the mandatory 8% core capital set by the OJK and Bank Indonesia.
Capital Risk in BUS and BPRS is a risk arising from a decrease in asset quality due to bad credit, so banks need to create new shares, find new investors, and increase capital deposits by owners to improve capital conditions to be equivalent to the capital requirements in BUS and BPRS Prabowo, (2016).The risk of bank capital adequacy is the main focus of bank supervisory authorities worldwide Indroes, (2017).Therefore, BUS and BPRS need to conduct stress tests.It is a tool for analysing and identifying risks that may be benign but which, if left unchecked, could significantly impact banking.The stress test method can assess capital pressure on the Bank Yildrim (2012).
The stress test used to calculate the capital adequacy of BUS and BPRS is the calculation of Expected Credit Loss (ECL) (Hartanto & Setijaningsih, 2023).The ECL approach in banking is reserve planning due to bank losses in the face of existing risks due to a decrease in asset value due to the value of bad credit caused by customers (Kindi et al. et al., 2023).Auraluna et al. (2022), Mongid & Kurniadi (2018), Setiawan et al. (2022), Sugiarto & Suroso (2020) explains that the calculation of Expected Credit Loss is proven to have a significant contribution to the national interest, banking industry, and financial position statements and also has an impact on the PD of Islamic banks in Indonesia, where Islamic banks need to distribute financing and ensure PD below 9%.This difference from previous research is an additional research object, namely BPRS (Sharia People's Financing Bank), and the research period was conducted from 2014 to 2022.This study aims to determine the assessment and differences in capital stress tests on BUS and BPRS using the expected credit loss (ECL) approach.

RESEARCH METHODS
This study uses a descriptive quantitative approach to determine an objective description of the condition using numbers, data collection, and interpretation of data Arikunto, (2006).The population of this study includes BUS and BPRS registered with OJK at the end of 2022.The sample of this study comprises BUS and BPRS, which publish annual financial reports.The sample of this study contained 12 BUS and 3 BPRS.The sample list is presented in Table 1.This research uses a purposive sampling method so that the sample is selected based on specific criteria as follows: 1. BUS and BPRS run their operations and are registered with the OJK for 2014-2022.
2. BUS and BPRS publish their annual financial reports completely and sequentially during 2014-2022.
This study uses secondary data.The calculation method uses the Expected Credit Loss approach with the formula = PD x LGD x EAD; Expected Credit Loss (ECL) calculates the capital stress test with PD testing set as NPF.Banks' LGD is generally set at 40%, and EAD is the total financing provided to customers in the form of mudharabah, musyarokah, murabahah, sale and purchase, and other contracts data analysis techniques used in the research, including quantitative descriptive analysis using SPSS and Mrs. Excel tools and t-test using EViews 12 tools.

Quantitative Descriptive Analysis
The sample used in this study consisted of 12 BUS and 3 BPRS.The quantitative descriptive analysis describes data based on mean, Standard deviation, minimum, and maximum.The following are the results: Based on Table 4 above, the ECL growth of Islamic people's financing banks has occurred for nine years.The calculation of ECL BPRS Bhakti Sumekar, HIK parangkaraya, and HIK Bahari increases yearly, although the increase in BPRS HIK Bahari is smaller than that in the other 2 BPRS.
2. Stage 2 (underperforming), ECL with significantly increased credit and financial asset risks.For example, loans over 30 days late in payment must still be in the stage 3 category.
ECL is expected to reach its final maturity date (lifetime).
3. Stage 3 (non-performing), ECL Loans and financial assets that are sharply impaired with a history of late payments ECL recognised until the final maturity time (lifetime).I am running a few minutes late; my previous meeting is over.ECL is high, and credit risk has a very significant increase.
In this study, it was found that most of the BUS samples were still classified as stage 1 (performing), so it can be said that BUS was still able to maintain the health of its capital through controlling NPF (PD) and financing provided (EAD) so that the assessment of the capital stress test on BUS using the ECL (expected loss) approach is influenced by the level of increase and decrease in PD and EAD Mongid & Kurniadi, (2018).
The results of this study are supported by research conducted by Mongid and Kurniadi (2018), which explains that the stress test of Islamic banking capital in Indonesia with the ECL approach is closely related to the calculation of PD, LGD, and EAD.

Results of capital stress test assessment using the ECL approach at BPRS
Based on the capital stress test assessment analysis results using the Expected Credit Loss (ECL) approach at BPRS from 2014 to 2022, The lowest ECL of 0.004 in 2014 is BPRS HIK Bahari.
It can also be seen that BPRS Bhakti Sumekar shows an ECL growth graph for 9, which shows a reasonably high ECL growth graph.Still, the ECL of BPRS HIK Bahari is relatively small, so it is in the ECL stage 1 (performing) category Indramawan, (2019).The next highest ECL of 12,355 in 2022 is BPRS Bhakti Sumekar; it can also be seen that BPRS Bhakti Sumekar shows an ECL growth graph that increases every nine years, at BPRS HIK Parahyangan also shows an ECL growth graph that increases every nine years both BPRS Bhakti Sumekar and BPRS HIK Parahyangan show a high ECL growth graph.There is a significant increase, so it falls into the ECL stage 2 (under-performing) category Indramawan, (2019).
In this study, it was found that there are 2 BPRS in stage 2 (under-performing); this is due to the increase in NPF (PD) and the level of financing provided (EAD) by BPRS, which is increasing every year.So, BPRS is quite capable of maintaining the health of its capital.So, the capital stress test assessment on BPRS using the ECL (expected loss) approach is influenced by the increase and decrease in PD and EAD Mongid & Kurniadi, (2018).The increase in financing provided by BPRS is supported by research conducted by Wenni and Canggih (2021), which states that in 2015-2019, BPRS could channel funds raised for financing activities to experience a significant increase.

Differences in capital stress test results using the ECL approach between BUS and BPRS
Based on the results of the analysis of capital risk measured using the capital stress test approach using the Expected Credit Loss (ECL) approach between BUS and BPRS in 2014-2022, answering the hypothesis in the research that there is a significant difference in ECL BUS and BPRS.The The capital development in[2014][2015][2016][2017][2018][2019][2020][2021][2022]in Islamic commercial banks (BUS) is in good condition.Capital in 2014 amounted to 15.78% and continued to increase until 2022 by 26.28%, while the development of capital in 2014-2022 in Sharia People's Financing Bank (BPRS) At the end of 2014, BPRS capital amounted to 22.77% and in 2019 capital amounted to 17.99%.In 2020, BPRS capital increased by 28.60% compared to the previous year.The capital increase was partly driven by the POJK/No.03/2016regulation regarding the minimum capital provision obligation of BPRS, but BPRS capital decreased again until the end of 2022 at 24.42%.A decrease in asset quality can cause a decline in BPRS capital due to bad debts and the inability of banks to meet the minimum capital requirements set by Bank Indonesia, which causes capital risk Pratiwi et al.,

Table 2 . Results of descriptive statistical analysis of BUS and BPRS
Based on Table3above, it can be seen that the ECL growth of Islamic commercial banks for nine years.The ECL calculation of Victoria Syariah Bank, Mega Syariah Bank, Aceh Syariah Bank, and Muamalat Bank shows a yearly decrease.In contrast, BSI Bank, BCAS, BTPN Syariah, and BPD NTB Syariah show fluctuating growth.Maybank syariah, panin dubai syariah and BPRD Riau kepri show an increase in ECL every year.The following is also the table of the growth of expected credit loss of BPRS for the period 2014-2024: Source: SPSS, 2024The descriptive statistical test results show that the highest ECL is Maybank Syariah, and the lowest is BCA Syariah.Meanwhile, in BPRS, the highest ECL is BPRS Bhakti Sumekar, and the lowest is BPRS HIK Bahari.The following is also the table of the growth of expected credit loss of BUS for the period 2014-2024: Source: Mrs. Excel, 2024