Arham, Fatimah Azzahra (2020) Estimasi Harga Obligasi Bencana Alam Dengan Tingkat Suku Bunga Stokastik Menggunakan Metode Monte Carlo. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Catastrophe bond (CAT bond) merupakan salah satu instrumen sekuritas keuangan terkait asuransi yang bertujuan untuk mentransfer serangkaian risiko tertentu (umumnya resiko bencana alam) dari penerbit kepada investor melalui pasar modal. Penentuan harga zero-coupon CAT bond memperhatikan faktor suku bunga yang bergerak secara stokastik dan distribusi dari kerugian yang diakibatkan oleh bencana alam. Pada penelitian ini, estimasi harga zero-coupon CAT bond dilakukan dengan memodelkan pergerakan suku bunga yang bergerak secara stokastik dengan model Cox-Inggersoll-Ross (CIR). Parameter model CIR diestimasi menggunakan algoritma Grid search. Selanjutnya dilakukan pendekatan Monte Carlo untuk mendapatkan nilai yang konvergen dari tingkat suku bunga pada model CIR. Distribusi data kerugian bencana digunakan untuk mencari nilai aggregate loss. Model aggregate loss dikontruksi menggunakan distribusi frekuensi dan severitas. Perhitungan aggregate loss secara exact sulit untuk dilakukan, sehingga dilakukan aproksimasi dengan metode campuran. Berdasarkan simulasi yang telah dilakukan, nilai suku bunga, batas atas kerugian dan waktu jatuh tempo dapat mempengaruhi penentuan harga zero-coupon CAT bond. Harga zero-coupon CAT bond perbulan mengikuti pergerakan tingkat suku bunga CIR. Nilai suku bunga yang kecil menghasilkan harga obligasi bencana yang tinggi begitupun sebaliknya. Batas atas kerugian (D) yang di tetapkan pihak issuer juga dapat mempengaruhi harga zero-coupon CAT bond. Semakin besar batas atas kerugian (D) membuat harga zero-coupon CAT bond menjadi mahal. Faktor terakhir yang dapat mempengaruhi harga zero-coupon CAT bond adalah waktu jatuh tempo. Semakin lama waktu jatuh tempo, maka harga zero-coupon CAT bond semakin murah.
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Catastrophe bond (CAT Bond) is one of the financial instruments related to insurance that aims to transfer a certain set of risks (generally natural disaster risk) from the issuer to investors through the capital market. Pricing zero-coupon CAT bond considers the interest rates that move stochastically and the distribution of losses caused by natural disasters. In this final project research, Pricing zero-coupon CAT bond is done by modeling the stochastic interest rate movement using the Cox-Inggers-Ross (CIR) model. CIR model parameters are estimated using the Grid search algorithm. Next, a Monte Carlo approach is used to obtain convergent values of the interest rates in the CIR model. Disaster loss data distribution is used to find the aggregate loss value. The construction aggregate loss model uses frequency distribution and severity. The exact calculation of aggregate loss is difficult to do, so the approximation is done using a mixed method. Based on the simulations that have been carried out, the interest rate, the upper limit of the loss and the due date can influence the determination of the zero-coupon CAT bond price. The CAT zero-coupon bond price per month follows the CIR interest rate. The small interest rate results in a high zero-coupon CAT bond price and vice versa. The upper limit of loss (D) set by the issuer can also affect the zero-coupon price of CAT bonds. The greater the upper limit of loss (D) makes the zero-coupon CAT bond expensive. The final factor that can affect the zero-coupon price of a CAT bond is the maturity date. The longer the maturity period, the cheaper the CAT bond zero-coupon price will be.
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSMa 511.326 Arh e-1 • Arham, Fatimah Azzahra |
| Uncontrolled Keywords: | Aggregate Loss, Cox-Ingersoll-Ross, Monte Carlo, Pendekatan Campuran , Zero-Coupon CAT Bond,Mix Approach Method |
| Subjects: | Q Science Q Science > QA Mathematics > QA274.2 Stochastic analysis Q Science > QA Mathematics > QA278.5 Principal components analysis. Factor analysis. Correspondence analysis (Statistics) Q Science > QA Mathematics > QA614.58 Catastrophes |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Fatimah Azzahra Arham |
| Date Deposited: | 22 Aug 2020 02:32 |
| Last Modified: | 07 Jul 2023 15:47 |
| URI: | http://repository.its.ac.id/id/eprint/80488 |
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