Di Asih I Maruddani
Jurusan Statistika FSM UNDIP

Published : 45 Documents
Articles

PENGUKURAN RISIKO KREDIT HARGA OBLIGASI DENGAN PENDEKATAN MODEL STRUKTURAL KMV MERTON Asdriargo, Anang; Maruddani, Di Asih I; Hoyyi, Abdul
Jurnal Gaussian Vol 1, No 1 (2012): Wisuda Periode Oktober 2012
Publisher : Jurusan Statistika UNDIP

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Abstract

Obligasi merupakan salah satu instrumen keuangan yang merupakan suatu pernyataan utang dari penerbit obligasi kepada pemegang obligasi beserta janji untuk membayar kembali pokok utang beserta bunganya pada saat jatuh tempo. Pada saat melakukan investasi obligasi, selain mendapatkan keuntungan juga memberikan potensi risiko investasi. Salah satu risiko yang dapat terjadi adalah risiko kredit. Risiko kredit adalah potensi risiko yang akan timbul bagi investor apabila penerbit obligasi tidak bisa melakukan kewajiban atas pembayaran bunga atau kewajiban pokok pada saat jatuh tempo. Untuk memodelkan risiko kredit salah satu pendekatan utamanya adalah Model Struktural. Model struktural mengasumsikan kebangkrutan perusahaan terjadi ketika nilai aset perusahaan berada di bawah nilai obligasi perusahaan. Model Merton dimodifikasi dan dikembangkan oleh KMV (sebuah perusahaan konsultan keuangan di Amerika Serikat) yang dikenal dengan KMV Model. Studi empiris dilakukan pada data aset PT Bank Daerah Khusus Ibukota Tbk dan PT Bank Lampung Tbk. Berdasarkan output pemrograman R, untuk PT Bank Daerah khusus Ibukota Tbk  diperoleh nilai probabilitas kegagalan sebesar 9,412932E-24% dan nilai Distance to Default adalah 10,4262. Sedangkan untuk PT Bank Lampung Tbk diperoleh nilai probabilitas kegagalan sebesar 3.801958E-07% dan nilai Distance to Default adalah 5.777011
PENGUKURAN PROBABILITAS KEBANGKRUTAN OBLIGASI PERUSAHAAN DENGAN MODEL FIRST PASSAGE TIME Diwati, Amalia; Maruddani, Di Asih I; Hoyyi, Abdul
Jurnal Gaussian Vol 1, No 1 (2012): Wisuda Periode Oktober 2012
Publisher : Jurusan Statistika UNDIP

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Abstract

Salah satu akibat dari kegiatan investasi adalah risiko kredit. Risiko kredit ialah risiko kerugian yang berhubungan dengan probabilitas counterparty gagal memenuhi kewajibannya pada saat jatuh tempo. Ada dua permodelan utama dalam analisis risiko kredit yaitu model struktural dan model tereduksi. Model First Passage Time merupakan salah satu model struktural yang diperkenalkan oleh Black dan Cox (1976). Model ini merupakan pengembangan model dasar Merton yang mengasumsikan bahwa kebangkrutan perusahaan dapat terjadi kapanpun, saat awal penerbitan hingga jatuh tempo, ketika nilai aset perusahaan berada di bawah nilai obligasi perusahaan. Studi empiris dilakukan pada data obligasi dan aset PT Bank Lampung Tbk periode November 2004 sampai dengan Januari 2012. Berdasarkan output pemrograman R, diperoleh nilai probabilitas kebangkrutan sebesar 0.002121936% dan nilai pasar ekuitas sebesar Rp 2.127.054.000.000,00.  
PENGUKURAN PROBABILITAS KEBANGKRUTAN OBLIGASI KORPORASI DENGAN SUKU BUNGA VASICEK MODEL MERTON (Studi Kasus Obligasi PT Bank Lampung, Tbk) Ratih, Kumo; Maruddani, Di Asih I; Hoyyi, Abdul
Jurnal Gaussian Vol 1, No 1 (2012): Wisuda Periode Oktober 2012
Publisher : Jurusan Statistika UNDIP

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Abstract

Bond is one of financial instrument that have lower investment risk than stock. One of investment risk is credit risk. Its refers to the risk due to unexpected changes in the credit quality of a counterparty or issuer on maturity date. There are two ways in the modelling of credit risk, structural model and reduced models. The structural model introduced by Black-Scholes (1973) and Merton (1974). On the Merton model assume that default occurs when the firm can not pay the coupon or face value at the maturity date. The interest rate on this model asssumed following Vasicek rate. An empirical study using corporate bond of PT Bank Lampung, Tbk with 300 billion face value. Value of Probability of Default 0,0000007910811% provethat PT Bank Lampung still can full their obigation at November 2012.
PENGUKURAN PROBABILITAS KEBANGKRUTAN DAN VALUASI OBLIGASI KORPORASI DENGAN METODE CREDITRISK+ Yustine, Yudia; Hoyyi, Abdul; Maruddani, Di Asih I
Jurnal Gaussian Vol 1, No 1 (2012): Wisuda Periode Oktober 2012
Publisher : Jurusan Statistika UNDIP

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Abstract

In capital market investment particularly the bonds, an investor must consider the credit risk and valuation of bonds. Credit risk refers to the risk due to unexpected changes in the credit quality of a counterparty or issuer. Valuation is amount that investor will receive on future. CreditRisk+ is from Reduced-Form Model which is used to calculate the probability of default and valuation of bonds. This method assumes that default occurs without warning and is therefore unpredictable. Default arrival is described by a Poisson process. Default intensity can expected by rate of corporate. An empirical example use a data set of bond from PT Berlian Laju Tanker, Tbk between 2007 and 2012. Probability of default from Berlian Laju Tanker III Bond is 0,6321206 and its valuation is Rp 153.481.545.500,00.
PENENTUAN VALUASI PORTOFOLIO OBLIGASI DENGAN CREDIT METRICS DAN MONTE CARLO SIMULATION Nugroho, Arief Seno; Maruddani, Di Asih I; Sugito, Sugito
Jurnal Gaussian Vol 2, No 3 (2013): Wisuda Periode Agustus 2013
Publisher : Jurusan Statistika UNDIP

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Abstract

The capital market is one way to get funding for the company and as a medium to strengthen corporate finance position. One of the instruments that are traded than stocks are bonds. The advantage of this instrument because it is easy and rapid acquisition of funds to beused for the operations of the corporate and the period of payment is longer. Bond investment must be noticed valuations and credit risk, with calculating the valuation can be estimate bonds credit risk. Credit Metrics is a reduced form model to estimate the risk of displacement of ratings. The risk not only occur when corporate rating be default but also if the rating upgrade or downgrade. For the determination of the portfolio valuation can be used Monte Carlo simulation using generate scenarios corporate ratings. Empirical study can be used for three bonds there are Obligasi II Bank Danamon Tahun 2010 Seri B, Obligasi II Telkom Tahun 2010 Seri A, and Obligasi Indofood Sukses Makmur V Tahun 2009. Each has an average valuation of 1.013,039 billion, 1.179,203 billion and 2.259,284 billion. The valuation of the portfolio amounted to 4.451,52 billion and a standard deviation 70,33 billion
PENGUKURAN RISIKO KREDIT OBLIGASI KORPORASI DENGAN CREDIT VALUE AT RISK (CVAR) DAN OPTIMALISASI PORTOFOLIO MENGGUNAKAN METODE MEAN VARIANCE EFFICIENT PORTFOLIO (MVEP) Somantri, Agus; Maruddani, Di Asih I; Hoyyi, Abdul
Jurnal Gaussian Vol 2, No 3 (2013): Wisuda Periode Agustus 2013
Publisher : Jurusan Statistika UNDIP

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Abstract

Getting benefits of many kinds of coupon is not the only advantage of bond investment, but also it gives potential risks such as credit risk. Credit risk originates from the fact that counterparties may be unable to fulfill their contractual obligations. Credit Value at Risk (CVaR) is introduced as a method to calculate bond credit risk if default occurs. CVaR is defined as the most significant credit loss which occurs unexpectedly at the selected level of confidence, measured as the deviation of Expected Credit Loss (ECL). To construct optimal bond portfolio requires Mean variance Efficient Portfolio (MVEP) method. MVEP is defined as the portfolio with minimum variance among all possible portfolios that can be formed. This study case has been constructed through two bonds, bond VI of Jabar Banten Bank (BJB) year 2009 serial B and bond of  BTPN Bank I year 2009 serial B. Based on the R programming output, the obtained results for bonds with a rating idAA BJB, has a positive CVaR value of Rp 22.728.338,00. While bonds with a rating idAA BTPN and portfolio for both bonds, each of which has a negative CVaR value amounted Rp 28.759.098,00 and Rp 32.187.425,00. CVaR is positive (+) expressed as the loss addition of  ECL while is negative () expressed as a decrease in loss of ECL. For optimal bond portfolio, gained weight for each bond is equal to 16,85202% for BJB and 83,14798% for BTPN bonds.
RISIKO KREDIT PORTOFOLIO OBLIGASI DENGAN CREDIT METRICS DAN OPTIMALISASI PORTOFOLIO DENGAN METODE MEAN VARIANCE EFFICIENT PORTFOLIO (MVEP) Fauziah, Nurul; Hoyyi, Abdul; Maruddani, Di Asih I
Jurnal Gaussian Vol 1, No 1 (2012): Wisuda Periode Oktober 2012
Publisher : Jurusan Statistika UNDIP

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Abstract

Investing is a important thing in a capital market. Bond investment must be noticed the risk especially credit risk. From the information of credit risk, investor can choose the right investment. Credit Metrics is a reduced form model to estimate the risk. Credit Metrics is centered by the corporate rating. The risk not only occur when corporate rating be default but also if the rating upgrade or downgrade. For a bond portfolio, can calculate the optimal portfolio by Mean Variance Efficient Portfolio method. Empirical study can be used for two bonds, first bond is Obligasi Adira Dinamika Multi Finance V Tahun 2011 Seri A and second one is Obligasi BFI Finance Indonesia III Tahun 2011 Seri A. First bond has 127.01640 (Billion) of credit risk and the second one bonds has 18.33472 (Billion). For a portfolio of that two bonds, they have 179.82460 (Billion). For the optimal portfolio, first bond has propotion 66.39% and 33.61% for the second bond.
VALUASI COMPOUND OPTION PUT ON PUT TIPE EROPA Sutarno, Yulia Agnis; Maruddani, Di Asih I; Sugito, Sugito
Jurnal Gaussian Vol 3, No 3 (2014): Wisuda Periode Agustus 2014
Publisher : Jurusan Statistika UNDIP

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Abstract

Options are one of the form of investment which a contract that gives the right (not obligation) to the option holder to buy (call options) or sell (put options) the underlying asset by a certain date for a certain price. Option price is a reflection of the intrinsic value of the option and any additional amount over intrinsic value. One type of options that are traded is compound options. Compound option model is introduced by Robert Geske in 1979. Compound options are options on options. Compound option put on a put is put option where the underlying assets are another put option. The compound option put on put will be exercised on the first exercise date only if the value of the put option on that date is less than the first stike price. An empirical study using compound option put on a put stocks of Apple Inc which is strike price compound option US$ 560, strike price put option US$ 585, with the first exercise date on March 28, 2014 and the second exercise date on May 17, 2014. The theoritical price of compound option put on put on stocks of Apple Inc is US$ 501.4566.
PERHITUNGAN VALUE AT RISK DENGAN PENDEKATAN THRESHOLD AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY-GENERALIZED EXTREME VALUE Tyas, Mutik Dian Prabaning; Maruddani, Di Asih I; Rahmawati, Rita
MEDIA STATISTIKA Vol 12, No 1 (2019): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (537.145 KB) | DOI: 10.14710/medstat.12.1.73-85

Abstract

Stock is the most popular type of financial asset investment. Before buying a stock, an investor must estimate the risks which will be received. Value at Risk (VaR) is one of the methods that can be used to measure the level of risk. When investing in stock, if an investor wants to earn high returns, then he must be prepared to face higher risks. Most of stock return data have volatility clustering characteristic or there are cases of heteroscedasticity and the distribution of stock returns has heavy tail. One of the time series models that can be used to overcome the problem of heteroscedasticity is the ARCH/GARCH model, while the method for analyzing heavy tail data is Extreme Value Theory (EVT). In this study used an asymmetrical ARCH model with the Threshold ARCH (TARCH) and EVT methods with Generalized Extreme Value (GEV) to calculate VaR of the stock return from PT Bumi Serpong Damai Tbk for the period of September 2012 to October 2018. The best chosen model is AR([3])?TARCH(1). At the 95% confidence level, the maximum loss an investor will be received within the next day by using the TARCH-GEV calculation is 0.18%.
ANALISIS DATA PANEL UNTUK MENGUJI PENGARUH RISIKO TERHADAP RETURN SAHAM SEKTOR FARMASI DENGAN LEAST SQUARE DUMMY VARIABLE Astuti, Tutut Dewi; Maruddani, Di Asih I
MEDIA STATISTIKA Vol 2, No 2 (2009): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (408.769 KB) | DOI: 10.14710/medstat.2.2.71-80

Abstract

Panel data analysis is a method of studying pooling observations on a cross-section of subjects over several time periods. There are several types of panel data analytic models, constant coefficients models, fixed effects models, and random effects models. Fixed effects models would have constant slopes but intercepts that differ according to the cross-sectional (group) unit. While the intercept is cross-section (group) specific, it may or may not differ over time. To show how to test for the presence of statistically significant group and/or time effects, i-1 dummy variables are used to designate the particular group, so we use Least Squares Dummy Variable method. In this paper, we use this method for testing the relationship between risk and stock return at farmation sector data in Indonesia for the time period 2007-2008. The empirical results showed that the model is statistically significant time effects.   Keywords : Risk, Stock Return, Panel Data, Least Square Dummy Variable