Penilaian Obligasi Syariah (Sukuk) Mudharabah: sebuah Pendekatan Simulasi

Haryana, Avif, Dr. Mamduh M. Hanafi, M.B.A.

2007 | Skripsi | S1 Management

Sukuk mudharabah has different characteristic compared with interest bonds. Sukuk holders will receive a periodically profit-sharing of which amount depends on the company revenues. Besides, they will also receive the sukuk nominal value at maturity date. Because of this characteristic, the amount of profit-sharing that sukuk holders will receive cannot be calculated in advance. The objective of this research is to find a method to calculate sukuk mudharabah value. The value of a security is basically the present value of future cash flow. The appropriate discount rate is obtained by checking the yield of the bonds with similar risks. Yield of the bonds is determined by market price of the bonds which cannot also be calculated in advance. Based upon these conditions, this research propose Monte Carlo simulation models to predict profit-sharing cash flow of the sukuk mudharabah and also to predict bond market price with similar risks and then to calculate the present value of those cash flows in order to obtain sukuk value. Finally, the value of sukuk is compared to present value of bond with similar risks to test it. The result of this research shows that sukuk value is not significantly different from the bond value with similar risk. Key word: sukuk, sharia bond, simulation, monte carlo

Kata Kunci : Penilaian Obligasi; Obligasi Syariah Mudharabah; Sukuk; Simulasi; Perbankan