Analisa Pemodelan Struktur Modal Perusahaan dengan Pendekatan Model Opsi (Studi Kasus: PT. UI Tbk)

Sa'diyah, Halimatus (2018) Analisa Pemodelan Struktur Modal Perusahaan dengan Pendekatan Model Opsi (Studi Kasus: PT. UI Tbk). Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Salah satu masalah yang sering dihadapi perusahaan adalah tentang permodalan, dimana sumber modal tidak hanya berasal dari modal sendiri atau ekuitas namun juga dana pinjaman atau hutang. Kombinasi ekuitas dan hutang yang digunakan ini dikenal dengan istilah struktur modal. Dalam penelitian ini, dibangun sebuah model matematis struktur modal perusahaan dengan menggunakan pendekatan model opsi oleh Black-Scholes. Solusi dari model matematis yang didapatkan, disimulasikan pada data laporan keuangan PT. UI Tbk dengan tujuan untuk mengetahui pengaruh tingkat suku bunga, volatilias dan total aset terhadap struktur modal perusahaan dan risiko kegagalannya. Dari simulasi diketahui bahwa tingkat volatilitas dan suku bunga berpengaruh positif terhadap nilai pasar ekuitas perusahaan dan memberi pengaruh negatif terhadap nilai pasar hutang perusahaan. Pengaruh positif tingkat volatilitas dan suku bunga memberi peningkatan nilai pada nilai pasar ekuitas masing-masing hingga 6.672% dan 11.872%. Sedangkan pengaruh negatif terhadap nilai pasar hutang membuat penurunan nilai masing-masing hingga 3.584% dan 6.293%. Selain nilai pasar ekuitas dan hutang, tingkat volatilitas juga berpengaruh terhadap premi risiko dan peluang kebangkrutan perusahaan. Semakin besar tingkat volatilitas maka premi risiko yang harus dilepaskan oleh perusahaan hingga 0.413% dan peluang kebangkrutan mencapai 0.044028. ================================================================================================ One of the problems that companies often face is about capital, where the source of capital comes not only from their own capital or equity but also loan or debt funds. A combination of equity and debt that is used is known as the capital structure. In this study, constructed a mathematical model of the company's capital structure by using option model approach by Black-Scholes. Solution of the mathematical model obtained, simulated data on the financial statements of PT Tbk UI in order to know how the interest rate, the volatilias and the total assets of the company's capital structure and the risk of failure. The results obtained are the level of volatility and interest rates have a positive effect on the market value of corporate equity and negatively affect the market value of the company's debt. The positive effects of volatility and interest rates gave an increase in the value of each equity market value up to 6.672% and 11.872%. While the negative effect on the market value of the debt resulted in a decrease in the value of each of up to 3.584% and 6.293%. In addition to the market value of equity and debt, the volatility level also gives effect to the risk premium and the bankruptcy opportunity of the company. The greater the level of volatility, the risk premium that the company has to release up to 0.413% and the chance of bankruptcy reaches 0.044028.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Struktur Modal, Model Opsi, Nilai Pasar Hutang, Nilai Pasar Ekuitas, Risiko, Peluang Kebangkrutan
Subjects: Q Science
Q Science > QA Mathematics > QA274.2 Stochastic analysis
Q Science > QA Mathematics > QA274.7 Markov processes--Mathematical models.
Divisions: Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User: Halimatus Sa'diyah
Date Deposited: 09 Aug 2021 21:12
Last Modified: 09 Aug 2021 21:12
URI: https://repository.its.ac.id/id/eprint/58815

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