PENENTUAN CAPITAL CHARGES RISIKO TRANSAKSI FOREIGN EXCHANGE DENGAN METODE MONTE CARLO SIMULATION (Studi Kasus pada PT Bank BRI (persero), Tbk)

SANTI PUJI WINARTI, Sukmawati Sukamulja, Prof., Dr.,M.M.

2016 | Tesis | S2 MANAJEMEN (MM) JAKARTA

Penelitian ini dilakukan untuk menentukan capital charge pada PT Bank BRI (persero), Tbk yang diakibatkan oleh eksposur terhadap risiko nilai tukar berdasarkan model internal Value at Risk dengan menggunakan pendekatan Monte Carlo Simulation.Data yang digunakan dalam penelitian ini adalah return nilai tukar harian spot Rupiah (IDR) terhadap tiga buah nilai tukar US Dollar (USD), Singapore Dollar (SGD, dan Euro (EUR), dengan periode penelitian mulai dari 1 Januari 2015 sampai dengan 31 Desember 2015 (245 hari pengamatan). Hasil analisa menyatakan bahwa PT Bank BRI (persero), Tbk dapat menggunakan metode Value at Risk pendekatan Monte Carlo Simulation untuk perhitungan capital charge risiko foreign exchange. Hal tersebut didasarkan pada pengujian nilai VaR menggunakan backtesting dengan melihat jumlah penyimpangan nilai VaR terhadap actual loss menunjukkan bahwa pendekatan dengan menggunakan monte carlo simulation terhadap tiga mata uang yaitu USD, SGD dan EUR valid. Capital charge tertinggi yang dibebankan kepada PT. Bank BRI (persero), Tbk selama periode pengamatan adalah sebesar Rp 55.208.673.171, sedangkan nilai terendahnya sebesar Rp 3.101.720.358. Rata-rata capital charge yang harus disediakan PT. Bank BRI (persero), Tbk selama periode 1 Januari 2015 sampai dengan 31 Desember 2015 sebesar Rp 30.015.507.771. Kata kunci: Risiko foreign exchange, Value at Risk, Monte Carlo Simulation, Backtesting

This study was conducted to determine the capital charge on PT Bank BRI (Persero), Tbk caused by the exposure to exchange rate risk which based on an internal model Value at Risk using Monte Carlo Simulation. Data sets that used in this study is the return of the daily spot exchange rate Rupiah (IDR) on three foreign currency: US Dollar (USD), Singapore Dollar (SGD, and the Euro (EUR). The research period is starting from January 1st, 2015 until December 31st, 2015 (245 days of observation). The results states that PT Bank BRI (Persero), Tbk can use the Value at Risk method with Monte Carlo Simulation approach to calculate the risk of capital charge on foreign exchange. It is based on VaR value test using backtesting to see VaR, value deviation of the actual loss, that showed monte carlo simulation approach against USD, SGD and EUR is valid. The highest capital charge that charged to PT. BRI Bank (Persero), Tbk during the observation period was Rp 55,208,673,171, while the lowest value was Rp 3,101,720,358. The average capital charge that must be provided by PT. BRI Bank (Persero), Tbk during research period is Rp 30.015.507.771. Keywords: Foreign exchange rate risk, Value at Risk, Monte Carlo Simulation, Backtesting

Kata Kunci : Foreign exchange rate risk, Value at Risk, Monte Carlo Simulation, Backtesting