Alifah, Keisha Putri (2026) Optimasi Cash-Flow Matching Portofolio Obligasi untuk Dana Pensiun dengan Conditional Value-At-Risk (CVaR) dan Hull-White Interest Rate Model. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Fenomena penuaan penduduk di Indonesia mendorong peningkatan jumlah penerima manfaat Program Jaminan Pensiun (JP) BPJS Ketenagakerjaan. Dana pensiun bergantung pada kesesuaian antara aset investasi dan kewajiban pembayaran manfaat, sehingga ketidakseimbangan arus kas dapat menimbulkan risiko shortfall yang mengancam keberlanjutan pembayaran pensiun jangka panjang. Penelitian ini merancang model pengelolaan portofolio obligasi dengan pendekatan cash-flow matching yang memastikan arus kas aset mampu menutupi arus kas liabilitas. Pendekatan tersebut diperkuat dengan integrasi Conditional Value-at-Risk (CVaR) untuk mengukur dan mengendalikan risiko shortfall pada kondisi pasar ekstrem. Dinamika suku bunga dimodelkan menggunakan model Hull–White satu faktor untuk menghasilkan skenario tingkat bunga dan harga obligasi yang lebih realistis, sementara permasalahan optimasi dirumuskan dalam bentuk program linear. Berdasarkan hasil analisis, kalibrasi parameter Hull–White menghasilkan nilai
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Construction site layout planning is a complex problem and is generally done by the site engineer’s experience. Study case is conducted at Proyek Pembangunan Fasilitas Kawasan Geodiversitas Indonesia di Karangsambung due to productivity and construction site safety aspect. Optimization should be done in view of the fact of unsafe condition report which is affected by the temporary facilities allocation. Identification of temporary facilities is managed by using project’s document and aerial photogrammetry survey. Risk assessment is then performed using questionnaire filled by the Monitoring of Environmental Occupational Health and Safety Management System Team for each temporary facility due to several aspects, such as material flow, equipment flow, personnel flow, and information flow for the construction site safety aspect and distance between the temporary facility for the productivity aspect. The optimization is done by identification and controlling the potential hazard along with iteration of different temporary facility’s allocation scenario such as access point, powerhouse-reservoir, toilet, tower crane, site offices, barracks, canteen, workshop area, and storage. The reliability of risk assessment is evaluated by Cronbach’s Alpha method which results 0.837 as the alpha coefficient. The result of the study case shows value of risk interaction on the existing site layout is 7229.88. After the optimization, the value of risk interaction decreases to 6999.97. Temporary facilities that have undergone a change in location for site layout optimization are the workshop area, storage, workers’ barracks, workers’ toilet, and the site office.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Cash-flow matching, Conditional Value-at-Risk (CVaR), Program Linear, Model Hull-White, Asset-Liability Management. Cash-flow matching, Conditional Value-at-Risk (CVaR), Linear Programming, Hull-White Model, Asset-Liability Management. |
| Subjects: | Q Science > QA Mathematics > QA274.2 Stochastic analysis Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA279.5 Bayesian statistical decision theory. Q Science > QA Mathematics > QA401 Mathematical models. |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis |
| Depositing User: | Keisha Putri Alifah |
| Date Deposited: | 12 Jan 2026 05:40 |
| Last Modified: | 12 Jan 2026 05:40 |
| URI: | http://repository.its.ac.id/id/eprint/129490 |
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