Analyzing Potential Financial Losses of HE2O at PT ITS Surabaya Hebat: A Monte Carlo and Value at Risk (VaR) Methods

Mumtaz, Nur Sabrina (2025) Analyzing Potential Financial Losses of HE2O at PT ITS Surabaya Hebat: A Monte Carlo and Value at Risk (VaR) Methods. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

PT ITS Surabaya Hebat (HE2O), a newly established bottled drinking water (AMDK) enterprise, faces financial uncertainty driven by fluctuating market demand and a cost-intensive operational structure. Given the company’s early-stage development, it is essential to assess potential financial risks under various demand scenarios. This study analyzes those risks using Monte Carlo simulation and quantifies potential losses through the Value at Risk (VaR) method. A comprehensive financial model was developed using 2024 operational and sales data, incorporating direct material costs, labor, overhead, and fixed costs such as depreciation and amortization. Demand was modeled as a stochastic input variable using triangular distributions, while other financial components were treated as deterministic. Simulations were conducted for each product type (330 mL, 600 mL, and gallon) based on actual sales, production capacity, and contractual forecasts. The Monte Carlo simulation was run for 10,000 iterations, generating a probability distribution of Net Profit (EAT) outcomes. The simulation results indicate an average net profit of Rp3.214 billion, with 96% of scenarios resulting in profitability. Only 4% of trials produced losses, suggesting relatively low downside exposure under current assumptions. The Value at Risk (VaR) at a 95% confidence level was calculated to be Rp1.047.199.211,69, representing the potential maximum annual loss in adverse conditions. These findings highlight the importance of maintaining efficient cost management and demand fulfillment while demonstrating the practical value of simulation-based risk modeling. The approach offers actionable insights for strategic financial planning, reserve allocation, and risk mitigation for early-stage businesses operating under market uncertainty.
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PT ITS Surabaya Hebat (HE2O), sebuah bisnis Air Minum Dalam Kemasan (AMDK) yang baru didirikan, menghadapi ketidakpastian keuangan yang signifikan akibat fluktuasi permintaan pasar dan struktur operasional yang padat biaya. Mengingat perusahaan masih berada dalam tahap pengembangan awal, penting untuk menilai risiko keuangan yang mungkin timbul dalam berbagai skenario permintaan. Studi ini bertujuan untuk menganalisis potensi kerugian keuangan menggunakan simulasi Monte Carlo dan mengukur eksposur risiko tersebut melalui metode Value at Risk (VaR). Model keuangan yang komprehensif dikembangkan berdasarkan data operasional dan penjualan tahun 2024, mencakup biaya bahan baku langsung, tenaga kerja, overhead, serta biaya tetap seperti depresiasi dan amortisasi. Permintaan dimodelkan sebagai variabel stokastik menggunakan distribusi triangular, sedangkan komponen biaya lainnya diasumsikan deterministik. Simulasi dilakukan untuk masing-masing varian produk (botol 330 mL, 600 mL, dan galon) berdasarkan data penjualan aktual, kapasitas produksi, dan proyeksi permintaan kontraktual. Simulasi Monte Carlo dijalankan sebanyak 10.000 iterasi, menghasilkan distribusi probabilitas dari laba bersih (EAT). Hasil simulasi menunjukkan bahwa rata-rata laba bersih yang diperoleh adalah sebesar Rp3,214 miliar, dengan 96% skenario menghasilkan profitabilitas. Hanya 4% dari simulasi yang menunjukkan kerugian, menandakan tingkat risiko kerugian yang relatif rendah dalam kondisi saat ini. Value at Risk (VaR) pada tingkat kepercayaan 95% dihitung sebesar Rp1.047.199.211,69, yang merepresentasikan estimasi kerugian maksimum tahunan dalam kondisi paling merugikan. Temuan ini menekankan pentingnya pengelolaan biaya yang efisien dan pemenuhan permintaan yang konsisten, serta menunjukkan nilai praktis dari pemodelan risiko berbasis simulasi. Pendekatan ini memberikan wawasan strategis untuk perencanaan keuangan, alokasi cadangan, dan mitigasi risiko, khususnya bagi bisnis tahap awal yang beroperasi dalam lingkungan pasar yang tidak pasti.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Financial Risk, Monte Carlo Simulation, Value at Risk, AMDK Industry, Risk Management, Risiko Keuangan, Simulasi Monte Carlo, Value at Risk, Industri AMDK, Manajement Risiko
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD1387 Valuation H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG4028.V3 Valuation. Economic value
Divisions:	Faculty of Industrial Technology > Industrial Engineering > 26201-(S1) Undergraduate Thesis
Depositing User:	Nur Sabrina Mumtaz
Date Deposited:	28 Jul 2025 01:18
Last Modified:	28 Jul 2025 01:18
URI:	http://repository.its.ac.id/id/eprint/122054

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