Puspitaningrum, Ajeng (2019) Kajian Pemodelan Penentuan Harga Obligasi Bencana untuk Risiko Bencana Alam dalam Bidang Pertanian. Other thesis, Institut Teknoogi Sepuluh Nopember.
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Abstract
Bencana kekeringan menyebabkan sektor pertanian mengalami kerugian yang cukup besar sehingga diperlukan suatu alternatif untuk memindahkan risiko yaitu dengan obligasi bencana. Obligasi bencana merupakan suatu produk sekuritas yang berguna untuk mengelola risiko akibat kerugian dari bencana alam. Pada Tugas Akhir ini, dilakukan penjabaran terhadap model penentuan harga obligasi bencana sehingga ditemukan solusi analitik untuk menentukan harga obligasi bencana. Berdasarkan mekanisme obligasi bencana, proses penjabaran dilakukan terhadap empat komponen model penentuan harga obligasi bencana, antara lain: model pembayaran kupon mengambang, model pembayaran spread tetap, model pembayaran nilai nominal, dan model pembayaran sisa nilai nominal. Simulasi solusi analitik menghasilkan bahwa semakin tinggi tingkat recovery dan tingkat spread kupon, semakin tinggi pula harga obligasi bencana pada saat waktu penerbitan. Berdasarkan periode pembayaran kupon, harga obligasi bencana terhadap tingkat recovery dengan periode quarterly memiliki nilai yang lebih tinggi dibandingkan annually dan semi-annually. Selain itu, harga obligasi bencana terhadap tingkat spread kupon dengan periode pembayaran kupon annually memiliki fluktuasi harga yang lebih tinggi dibandingkan semi-annually dan quarterly.
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The drought has caused huge agricultural losses because the crop production has fallen. Therefore, the catastrophe bond is used as an alternative to transferring the catastrophe risk to the capital market. A catastrophe bond is a securities product in managing the catastrophe risk. In this study, the derivation of the model is used to find the analytical solution for pricing of the catastrophe bond. The catastrophe is assumed to follow a non-homogeneous Poisson process. Based on the catastrophe bond’s mechanism, we evaluate each of four model components such as the floating rate payments model, fixed-rate payments model, face value payment, and residual face value payment. The simulation of analytical solution results the higher the recovery rates and also the higher the coupon spread, the higher will be the bond price at issue. Furthermore, based on coupon periodic payment the catastrophe bond’s price with quarterly of recovery rate is higher than annually and semi-annually. At last, the catastrophe bond’s price with annually coupon payment of spread rate has higher price fluctuation than quarterly and semi-annually coupon payments.
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSMa 511.8 Pus k-1 2019 |
| Uncontrolled Keywords: | Kekeringan, Obligasi Bencana, Pertanian, Proses Poisson Non-Homogen, Catastrophe bond, Drought, Non-homogeneous Poisson process, Agricultural |
| Subjects: | Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA614.58 Catastrophes |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Ajeng Puspitaningrum |
| Date Deposited: | 18 Apr 2024 08:28 |
| Last Modified: | 18 Apr 2024 08:28 |
| URI: | http://repository.its.ac.id/id/eprint/65630 |
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