Pengukuran risiko operasional pada bank syariah indonesia (studi kasus: bank syaiah xyz)

Yudiana, Yudi (2017) Pengukuran risiko operasional pada bank syariah indonesia (studi kasus: bank syaiah xyz). Masters thesis, Institut Pertanian Bogor.

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Abstract

In contrast to credit risk and market risk, operational risk Islamic banks in addition to the unique characteristics resulting from business activities with the dimensions of a vast and complex as the source of risk is a combination of various sources, both people, systems and technology, processes and policies, external factors, as well as exposed Sharia Non-Compliance Risk, Risk Fiducia, People Risk and Legal Risk. Human factors and systems as widely discussed in the literature and previous research is the most influential factor in the loss of Islamic banking operations. The use of the Basic Indicator Approach which is a standard model for measuring operational risk besides not describe the profile or potential operational risk in accurately, it also resulted the calculation of capital charge that is greater than the internal model. Capital charge that is too large and sometimes unrealistic, would be burdensome Islamic bank xyz because it can reduce the ability to expand their business. Plus, because of the standard model produces an inaccurate of the risk profile, it can cause errors in decision making related to operational risk management of Islamic banks xyz. Islamic banks xyz is one of the great assets of Islamic banks and widest service network in Indonesia. Simulation calculation of operational risk Islamic banks xyz using the Basic Indicator Approach generate capital charge for operational risk at the end of 2015 amounted to Rp. 343.50 billion. This thesis aims to analyze the types of events with the biggest loss, estimating the probabilty of operational loss events and quantify efficiency of the operational risk capital charges using Loss Distribution Approach - Aggregate models. Calculation of the potential operational risk loss Islamic banks xyz used by calculating Operational Value at Risk (OpVaR). The research method uses quantitative methods derived from secondary data loss and operational audit findings period January 1, 2013 to June 30, 2016. In applying the method of LDA-Aggregate operational risk measurement requires operational loss data history at least three years. Operational loss data at diversifying into data frequency and severity. The distribution of the data to test the Goodness of Fit (GoF). Distribution fit obtained merger (aggregate) and Monte Carlo simulation to calculate the Operational Value at Risk (OpVaR). The results showed three types of events that bigt contribute to the operating loss is a Business Disruption and System Failures; Execution, Delivery and Process Management; and Internal Fraud. Systems and humans as the dominant cause of the loss of Islamic banking operations as many written in previous studies shown to occur in Islamic banks xyz. With a confidence level of 99.9% is used, meaning that with a probability of 99.9% maximum operational risk loss due to Business Disruption and System Failures facing Islamic banks xyz for 1 year ahead amounted Rp.128,33 billion with the mean frequency average monthly 18 times. The resulting capital charge is equal to the value OpVaR with a confidence level of 99.9% amounted Rp.280.661.798.132. Thus, the calculation of operational risks of Islamic banks xyz using LDA-Aggregate method produces a lower capital charge than the use of the Basic Indicator Approach. Lower capital charge implies allocation of capital needed to cover operational risk become more efficient. This resulted in a wider opportunity for Islamic banks xyz to expand and develop business strategies. In addition, an overview of operational risk given by LDA-Aggregate method would be more accurate because the calculation using operational risk loss data Islamic banks xyz are more relevant than the gross income. The backtesting results on the estimating for OpVar calculated with LDA-Aggregate method for the seventh event types were acccepted, which means that the model is feasible So, it can be concluded that the Loss Distribution Approach - Aggregate method can be used as an alternative method for measuring operational risk Islamic banks xyz.

Item Type: Thesis (Masters)
Uncontrolled Keywords: advanced measurement approach, Bank syariah, loss distribution approach, operational value at risk, risiko operasional. advanced measurement approach, islamic bank, loss distribution approach, operational risk, operational value at risk.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 20 Feb 2018 01:56
Last Modified: 20 Feb 2018 02:01
URI: http://repository.sb.ipb.ac.id/id/eprint/2991

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