PENETAPAN POSlSl DEVISA NETO OPTIMAL UNTUK PENGENDALIAN RESIKO VALUTA ASlNG PADA BANK "AAA"

Endratno, Bambang (2004) PENETAPAN POSlSl DEVISA NETO OPTIMAL UNTUK PENGENDALIAN RESIKO VALUTA ASlNG PADA BANK "AAA". Masters thesis, Institut Pertanian Bogor.

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

Abstract

The purpose of the study is to setup Optimum Net Open Position to control foreign exchange risk with loss limit analysis and value at risk analysis. The study also tries to estimate the degree of the risks that analysis be covered by the bank’s capital, arid the loss limit. To determine validity of loss limit, the study uses back testing method by comparing the Profit/Loss Revaluation of Net Open Position with the Loss Limit Net Open Position. The Loss Limit Net Open Position and Optimum nominal Open Position are used to design the foreign exchange risk control system. Beside on this system the Net Open Position Unit will be able to control the foreign exchange risk in daily basis by comparing the Realized Profit and Loss with the Loss Limit Net Open Position arid also the Realized nominal Net Open Position with the Optimum Net Open Position. Based on the finding of this study, it is suggested that the management of Bank to use 20% of the profit foreign exchange targets as on annual loss Limit Net Open Position that will result a 2,48% of bank's capital as a daily Optimum nominal net open Position.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Posisi Devisa Neto, Posisi Devisa Neto Optimal,Batas Krugian, Value at Risk, Parametrik,Volatilitas, Nilai tukar, Resiko Pasar
Subjects: Manajemen Keuangan
Depositing User: Staff-3 Perpustakaan
Date Deposited: 06 Jan 2012 07:38
Last Modified: 06 Jan 2012 07:38
URI: http://repository.sb.ipb.ac.id/id/eprint/995

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