Sairafi, A. Salman (2020) Penghitungan Value At Risk Pada Dengan Exponential Severities. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Istilah perbankan sudah tidak asing lagi bagi penduduk Indonesia. Bank adalah badan usaha yang salah satu tugasnya adalah menyalurkannya dana kepada masyarakat dalam bentuk kredit. Risiko kredit merupakan risiko yang paling besar yang dihadapi perbankan, pasalnya sebagian besar produk yang dikeluarkan oleh perbankan adalah kredit. Untuk mengurangi risiko yang akan terjadi maka perlu diketahui seberapa besar risiko kredit tersebut. Salah satu ukuran risiko yang sering digunakan adalah Value at Risk. Pada Tugas akhir ini, untuk mengetahui kerugian pada portofolio kredit diasumsikan bahwa terjadi gagal bayar sehingga setiap nasabah memiliki kredit dalam status gagal bayar. Distribusi severitas yang digunakan dalam model portofolio kredit adalah distribusi eksponensial dan distribusi frekuensi yang digunakan adalah distribusi Bernoulli. Perhitungan Value at Risk menggunakan simulasi Monte Carlo. Hasil yang diperoleh pada Tugas Akhir ini adalah model yang digunakan pada portofolio kredit dan Value at Risk yang dihasilkan dari simulasi model portofolio kredit menggunakan Monte Carlo. Simulasi Value at Risk yang dilakukan juga untuk melihat pengaruh dari jumlah nasabah, jumlah iterasi, dan besarnya kredit terhadap hasil Value at Risk
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The term banking is no stranger to the Indonesian population. Banking is something that concerns about banks. Bank is a business entity whose one of its tasks is to channel funds to the public in the form of credit. Credit risk is the biggest risk faced by banks, because the majority of products issued by banks are credit. One measure of risk that is often used is Value at Risk. Calculation of Value at Risk can be done with various simulations, one of which is a Monte Carlo simulation. Monte Carlo simulation is sampling using random numbers with the working principle of generating random numbers or samples from a variable whose distribution is known. The severity distribution used in the credit portfolio model is an exponential distribution and the frequency distribution used is the Bernoulli distribution. In this final project, to find out the biggest loss in the credit portfolio it is assumed that there is a default so that each customer has a credit in a default status. The results obtained in this Final Project are the models used in the credit portfolio and Value at Risk generated from the simulation of the credit portfolio model using Monte Carlo. The {Value at Risk} simulation is also carried out to see the effect of the number of customers, the number of iterations, and the amount of credit on the results of Value at Risk
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSMa 519.544 Sai p-1 • Sairafi, A. Salman |
| Subjects: | H Social Sciences > HA Statistics > HA31.7 Estimation |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Sairafi A. Salman |
| Date Deposited: | 27 Aug 2020 02:59 |
| Last Modified: | 18 Nov 2023 13:54 |
| URI: | http://repository.its.ac.id/id/eprint/80835 |
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