ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ)
This thesis analyzes the market risk measurement at Bank XYZ for Government Securities portfolio. The method used is the Standardized Model and Internal Models, Value at Risk (VaR). The use of such models as the consideration for the banking industry in particular provision of capital charges set-of...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2011
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| _version_ | 1826043732491763712 |
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| author | , Dhevy Hardanta , Prof. Dr. Sukmawati Sukamulja, M.M. |
| author_facet | , Dhevy Hardanta , Prof. Dr. Sukmawati Sukamulja, M.M. |
| author_sort | , Dhevy Hardanta |
| collection | UGM |
| description | This thesis analyzes the market risk measurement at Bank XYZ for Government
Securities portfolio. The method used is the Standardized Model and Internal
Models, Value at Risk (VaR). The use of such models as the consideration for the
banking industry in particular provision of capital charges set-off between
income and the provision of risk when a bank hold Government securities
Portfolio Trading. The purpose of this study compared the provision of risk both
models of Capital Charges. The results concluded that the Internal Model
approach (VaR) is more accurate and provide better levels of effectiveness of
capital allocation than the Standardized Model approach.Using Internal Model
will reduce capital charges. |
| first_indexed | 2024-03-13T22:08:25Z |
| format | Thesis |
| id | oai:generic.eprints.org:89797 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T22:08:25Z |
| publishDate | 2011 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:897972014-08-20T02:51:00Z https://repository.ugm.ac.id/89797/ ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ) , Dhevy Hardanta , Prof. Dr. Sukmawati Sukamulja, M.M. ETD This thesis analyzes the market risk measurement at Bank XYZ for Government Securities portfolio. The method used is the Standardized Model and Internal Models, Value at Risk (VaR). The use of such models as the consideration for the banking industry in particular provision of capital charges set-off between income and the provision of risk when a bank hold Government securities Portfolio Trading. The purpose of this study compared the provision of risk both models of Capital Charges. The results concluded that the Internal Model approach (VaR) is more accurate and provide better levels of effectiveness of capital allocation than the Standardized Model approach.Using Internal Model will reduce capital charges. [Yogyakarta] : Universitas Gadjah Mada 2011 Thesis NonPeerReviewed , Dhevy Hardanta and , Prof. Dr. Sukmawati Sukamulja, M.M. (2011) ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ). UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=51066 |
| spellingShingle | ETD , Dhevy Hardanta , Prof. Dr. Sukmawati Sukamulja, M.M. ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ) |
| title | ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ) |
| title_full | ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ) |
| title_fullStr | ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ) |
| title_full_unstemmed | ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ) |
| title_short | ANALISIS PERBANDINGAN PENGUKURAN RISIKO PASAR STANDARDIZED MODEL DAN INTERNAL MODEL PADA SURAT UTANG NEGARA PORTOFOLIO TRADING (STUDI KASUS BANK XYZ) |
| title_sort | analisis perbandingan pengukuran risiko pasar standardized model dan internal model pada surat utang negara portofolio trading studi kasus bank xyz |
| topic | ETD |
| work_keys_str_mv | AT dhevyhardanta analisisperbandinganpengukuranrisikopasarstandardizedmodeldaninternalmodelpadasuratutangnegaraportofoliotradingstudikasusbankxyz AT profdrsukmawatisukamuljamm analisisperbandinganpengukuranrisikopasarstandardizedmodeldaninternalmodelpadasuratutangnegaraportofoliotradingstudikasusbankxyz |