Banks has an important role in economic cycles throughout the world, including Indonesia. The word Bank itself can be defined as an institution in charge of collecting funds from the public and manage it to be channeled back to the public in the form of credit. However, all of a Bank’s activities are not immune from risk. The examples of such risks include credit risk, liquidity risk and market risk. If the Bank fails to manage these risks properly, the performance of the Bank may be decreased.
This study aims to determine the effect of credit risk, liquidity risk and market risk by measuring them with Non Performing Loan, Loan to Deposit Ratio and Net Open Position as proxies to a Commercial Bank's financial performance outlined in Business Activity (BUKU) 3 and 4 in the period 2009 - 2013. Financial performance in this study is measured with the Return On Asset variable as proxy.
The sample in this study is a Commercial Bank as according to Business Activities (BUKU) 3 and 4 in the period of 2009 to 2013 that is listed in the Indonesia Stock Exchange by using purposive sampling technique. This study uses the quarterly financial reports obtained from the Financial Services Authority’s (OJK) website as secondary data. Data analysis is performed with a quantitative analysis method called the multiple regression analysis. The data in this study are tested on their normality, multicollinearity, heteroscedasticity, and autocorrelation.
The results shows that when credit risk, liquidity risk and market risks are measured simultaneously, they can significantly affect the Commercial Bank‘s financial performance as according to Business Activities (BUKU) 3 and 4 in the period 2009 - 2013. However, when measured separately, it is found that only the credit risk can affect the Bank's financial performance in the same period.
Keywords : NPL, LDR, PDN, ROA