Wulansari, Shanti (2019) Pemodelan Portofolio Berbasis Linear Programming Untuk Rencana Proyek Pengembangan Bisnis Bank. Masters thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Rencana bisnis akan menjadi pedoman kerangka kerja proses bisnis bank selama setahun kedepan. Pembuatan rencana bisnis menjadi proyek internal, yang dibentuk oleh bagian bisnis dan perencanaan strategis. Kondisi saat ini, rencana bisnis ditetapkan mengikuti pertumbuhan setiap portofolio asset produktif setiap tahun, sehingga pada realisasinya ditentukan ketika adanya penawaran. Kondisi ini akan mengakibatkan tidak terukurnya resiko atas portofolio dan ketidaktepatan pemilihan portofolio. Asset Liability Management (ALM) merupakan manajemen struktur komponen neraca aset dan liabilitas, yang menjadi pendorong bisnis bank. Manajemen struktur aset menjadi hal utama dalam mencapai target profit. Bank merupakan organisasi profit oriented, yang membutuhkan perhitungan tepat dalam mengalokasikan aset produktif sebagai portofolio bank. Aset produktif meliputi banking book dan trading book, dalam pemilihan setiap portofolio mengandung risiko likuiditas, risiko pasar dan risiko kredit. Tingkat profit tercermin dalam return, sedangkan return dan risk menjadi trade off sehingga perhitungannya membutuhkan model matematis dan simulasi. Bank Indonesia (BI) dan Otoritas Jasa Keuangan (OJK) sebagai regulator seluruh bank di Indonesia, memberikan beberapa regulasi terkait duabelas risiko perbankan. Selain itu, sebagai pelaku bisnis bank memiliki batas risiko internal yang menjadi dasar proses bisnis. Kedua hal tersebut menjadi gambaran batasan model linear programming dengan fungsi maksimum profit. Berdasarkan hasil penelitian, didapatkan struktur neraca beserta nominalnya yang menunjukan optimasi profit atas penerimaan risiko bank studi kasus. Simulasi model dengan data pasar 31 Desember 2018 dan data historis bank studi kasus untuk pengembangan rencana bisnis 2019, menghasilkan nilai profit Rp 1,9 trilyun dengan komposisi aset produktif berupa term deposit BI, interbank call money, S.B. BI, S.B. pemerintah Indonesia, S.B. korp. non keuangan rating BBB, S.B. korp. non keuangan rating A dan S.B. pemerintah Indonesia untuk avalaible for sales. Apabila terjadi penurunan kinerja ekonomi atau faktor yang menyebabkan penurunan suku bunga pasar akan berdampak pada penurunan profit, setiap 1.00% penurunan suku bunga pasar akan menurunkan profit 673 milyar Profit yang didapatkan dari hasil perhitungan penelitian untuk proyek rencana bisnis 2019 lebih tinggi dibanding target profit tanpa fungsi opimasi.
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The business plan will guide the bank's business process framework for the next year. Making a business plan becomes an internal project, formed by the business and strategic planning department. Current conditions, business plans are determined to follow the growth of each productive asset portfolio every year, so that the realization is determined when there is an offer. This condition will result in the non-measurable risk of the portfolio and the inaccuracy of portfolio selection. Asset Liability Management (ALM) is the management of the asset and liability balance sheet structure, which is the driving force of the bank's business. Asset management is the main thing in achieving profit targets. Banks are profit oriented organizations, which require precise calculations in allocating productive assets as bank portfolios. Productive assets include the banking book and trading book, in the selection of each portfolio containing liquidity risk, market risk and credit risk. The profit level is reflected in returns, while returns and risks are trade offs so that the calculation requires mathematical and simulation models. BI and OJK as regulators of all banks in Indonesia, provide several regulations related to twelve banking risks. In addition, as a business actor, the bank has an internal risk limit that forms the basis of business processes. Both of these become a picture of the boundaries of the linear programming model with the maximum function of profit. Based on the results of the study, the balance sheet structure and its nominal value showed an optimization of profit from the risk acceptance of the bank case study. Model simulation with market data December 31, 2018 and historical data of the case study bank for the development of the 2019 business plan, resulted in a profit value of Rp 1.9 trillion with the composition of productive assets in the form of BI term deposits, interbank call money, BI bonds, Indonesian government bonds,, corporate bonds non financial rating BBB, S.B. corps. non financial rating A and Indonesian government bonds for availability for sales. If there is a decrease in economic performance or factors that cause a decrease in market interest rates will result in a decrease in profit, every 1.00% decrease in market interest will reduce profit by 673 billion Profits obtained from the research calculations for 2019 business plan projects higher than profit targets without functions optimization.
| Item Type: | Thesis (Masters) |
|---|---|
| Additional Information: | RTMT 658.404 Wul p-1 |
| Uncontrolled Keywords: | aset produktif, banking book, trading book, constraint |
| Subjects: | H Social Sciences > HG Finance > HG4529.5 Portfolio management |
| Divisions: | Faculty of Creative Design and Digital Business (CREABIZ) > Technology Management > 61101-(S2) Master Thesis |
| Depositing User: | Wulansari Shanti |
| Date Deposited: | 26 Mar 2025 02:01 |
| Last Modified: | 26 Mar 2025 02:01 |
| URI: | http://repository.its.ac.id/id/eprint/68314 |
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