OPTlMALlSASl PEMANFAATAN LIMIT DALAM PENGELOLAAN PORTOFOLIO FOREIGN EXCHANGE MELALUI PENDEKATAN VALUE AT RISK ( VaR ) ( Studi Kasus di Divisi Tresuri PT. Bank Negara Indonesia (Persero) Tbk )

lndraty, Nungki (2002) OPTlMALlSASl PEMANFAATAN LIMIT DALAM PENGELOLAAN PORTOFOLIO FOREIGN EXCHANGE MELALUI PENDEKATAN VALUE AT RISK ( VaR ) ( Studi Kasus di Divisi Tresuri PT. Bank Negara Indonesia (Persero) Tbk ). Masters thesis, Institut Pertanian Bogor.

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Official URL: http://elibrary.mb.ipb.ac.id

Abstract

The purpose of this study was to identify the gap between policy, authority and limits of the foreign exchange transactions currently used, with the risk limit (VaR) given by the bank management to its Foreign Exchange Business Unit. The risk value of three sample currencies (USD/IDR, USD/JPY and EUR/USD) portfolio earned by using the movement of each currencies in 257 working days historical data within a year. The data will be used as the basic data for the calculation of the optimum portfolio composition. The market conditions used to optimize the use of VaR limit in this research are the normal, bad and a combination of the two conditions. In this research, the researcher's found that there is a significant portfolio gap for each market condition and the bank management have to set an optimal and more accommodative portfolio composition to minimize the gap. Within the three compositions researched, the researcher's found that there are advantages and disadvantages for each composition and the need to choose a composition wich is consider the most favorable for the management. A portfolio composition of each sample currencies which is consider as the most favorable to be implemented in the bank Foreign Exchange Business Unit will become the researcher's recommendation for the bank management in order to improve their current policies. The recommended portfolio composition is considered the most accommodative for the dealers on their foreign exchange daily trading. The researcher suggest Bank BNl's management to give an accommodative authority and limits to its dealers so they can be more flexible in its daily trading and they can contribute an optimal profit to the bank.

Item Type: Thesis (Masters)
Uncontrolled Keywords: USDIIDR, USDNEN, EURIUSD, PT. Bank Negara Indonesia (Persero) Tbk, Divisi Tresuri, Business Unit Foreign Exchange, foreign exchange, market risk, manajemen risiko, Value at Risk (VaR), eksposur, portofolio, kebijakan wewenang dan limit, Dealer, trading, open position, un-diversified VaR, diversifiedVaR, worst case, statistik deskriptif, statistik inferen, studi kasus
Subjects: Manajemen Keuangan
Depositing User: Staff-3 Perpustakaan
Date Deposited: 31 Dec 2011 02:18
Last Modified: 31 Dec 2011 02:18
URI: http://repository.sb.ipb.ac.id/id/eprint/609

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