Analisis penghitungan resiko posisi devisa neto untuk mendukung keputusan strategis pada pt. bank xyz (persero) tbk

Toyib, Moh (2002) Analisis penghitungan resiko posisi devisa neto untuk mendukung keputusan strategis pada pt. bank xyz (persero) tbk. Masters thesis, Institut Pertanian Bogor.

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

Abstract

Net Open Position Risk Analysis in Support of Strategic Decision In PT. Bank XYZ (Persero) Tbk. Moh. Toyib The purpose of the study is to analysis risk of Net Open Position (NOP) exposure with Value at Risk (VaR) analysis. In this case we try to estimate sum of risk that must be covered by banks Capital at Risk (CaR). To determine validity of Value at Risk method we use Back Testing Method. In this case we compare between Value at Risk of Net Open Position and realize loss. In the other hand we also use Stress Testing to estimate value of risk will be faced up by bank if the extreme condition will be done. The objects of analysis are Net Open Position exposure of PT. Bank XYZ (Persero) Tbk., policy and strategy of Net Open Position, foreign exchange fluctuation and the other things that are related with this analysis. Finally the result of this study is the bank must have traffic light monitoring of Net Open Position, where that is not just based on maximum 20% of banks equity, but also consider Value at Risk and Capital at Risk

Item Type: Thesis (Masters)
Uncontrolled Keywords: Posisi Devisa Neto, Value at Risk, Capital at Risk, Traffic Light
Subjects: Manajemen Keuangan
Depositing User: Library
Date Deposited: 04 Aug 2011 07:33
Last Modified: 04 Aug 2011 07:33
URI: http://repository.sb.ipb.ac.id/id/eprint/67

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