UI - Tesis (Open) :: Kembali

UI - Tesis (Open) :: Kembali

Analisis penerapan autoregressive integrated moving average sebagai dasar pengambilan keputusan hedging : studi kasus pada PT. XYZ = Analysis of autoregressive integrated moving average implementation for hedging decision making : case study at PT. XYZ

Marcellino Heru Adiwaskito; Gede Harja Wasistha, supervisor; Sembel, Roy Hendra Michael, examiner; Cynthia Afriani, examiner (, 2011)
 Abstrak
[ABSTRAK

Setiap perusahaan yang menggunakan valuta asing dalam kegiatan
operasionalnya akan terkena dampak foreign exchange exposure. Resiko ini dapat
dikelola dengan menggunakan lindung nilai (hedging). Namun dalam melakukan
hedging, tidak selamanya perusahaan dapat meminimalkan kerugian atau
memaksimalkan keuntungan. Disinilah teknik peramalan berperan agar perusahaan
dapat mengambil keputusan kapan harus melakukan hedging. Teknik yang dimaksud
adalah autoregressive integrated moving average (ARIMA). Peramalan
menggunakan jumlah sampel data kecil menghasilkan mean forecast error terendah
dibandingkan jumlah sampel data besar. Perbandingan kebijakan hedging
menggunakan forward contract menunjukkan bahwa hasil peramalan ARIMA dapat
dijadikan dasar pengambilan keputusan dalam memaksimalkan cash flows
perusahaan.


Abstract

Each company that uses foreign currency in operational activities could be
affected by foreign exchange exposure. They can manage these risks by using
hedging. However, there?s no guarantee the company will always reduce its loss or
increase its profit. Sometimes, what happened is the opposite one. This is where the
forecasting technique needed so the company may know when to do hedging. The
technique is autoregressive integrated moving average (ARIMA). Smaller sample
data amount will generate lower mean forecast error compare to use bigger sample
data. Hedging policy comparison using forward contract shows that ARIMA forecast
results could be used for decision making to maximize company?s cash flows.;Each company that uses foreign currency in operational activities could be
affected by foreign exchange exposure. They can manage these risks by using
hedging. However, there?s no guarantee the company will always reduce its loss or
increase its profit. Sometimes, what happened is the opposite one. This is where the
forecasting technique needed so the company may know when to do hedging. The
technique is autoregressive integrated moving average (ARIMA). Smaller sample
data amount will generate lower mean forecast error compare to use bigger sample
data. Hedging policy comparison using forward contract shows that ARIMA forecast
results could be used for decision making to maximize company?s cash flows., Each company that uses foreign currency in operational activities could be
affected by foreign exchange exposure. They can manage these risks by using
hedging. However, there?s no guarantee the company will always reduce its loss or
increase its profit. Sometimes, what happened is the opposite one. This is where the
forecasting technique needed so the company may know when to do hedging. The
technique is autoregressive integrated moving average (ARIMA). Smaller sample
data amount will generate lower mean forecast error compare to use bigger sample
data. Hedging policy comparison using forward contract shows that ARIMA forecast
results could be used for decision making to maximize company?s cash flows.]
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 Metadata
No. Panggil : T29485
Pengarang :
Pengarang/kontributor lain :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2011
Program Studi :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated ; computer
Tipe Carrier : volume ; online resource
Deskripsi Fisik : xv, 74 pages : illustration ; 28 cm + apendix
Catatan Bibliografi : pages 73-74
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
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