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ABSTRAKTesis ini meneliti validitas pengukuran risiko operasional migas di PT Pertamina
EP dalam periode 2010-2013 menggunakan metode extreme value theory.
Analisis ini dilakukan karena pemodelan VaR umumnya hanya fokus pada badan
(body) distribusi statistik namun tidak memperhatikan daerah ekor (tail) yang
frekuensi risikonya rendah dan severitas tinggi. Nilai VaR dihitung menggunakan
data periode 2010 sampai dengan 2012 dan uji validitas terhadap data tahun
2013. Hasil uji validitas menunjukkan bahwa dengan confidential level 95% dan
99%, metode extreme value theory valid untuk mengukur potensi risiko
operasional PT Pertamina EP.
ABSTRAKThe goal of this thesis is to research the validity of the measurement of oil and
gas operational risk at PT Pertamina EP in the period 2010-2013 using the
method of extreme value theory. It is carried out to respond the fact that VaR
modeling is generally focus on the body of statistical distribution but do not cover
to the tail of statistical distribution area which is low frequency and high severity
risk. VaR is calculated using data from 2010 to 2012 and test the validity of the
data in 2013. Validity test results show that extreme value theory valid method to
measure the potential operational risk of PT Pertamina EP at confidential level of
95% and 99%.;The goal of this thesis is to research the validity of the measurement of oil and
gas operational risk at PT Pertamina EP in the period 2010-2013 using the
method of extreme value theory. It is carried out to respond the fact that VaR
modeling is generally focus on the body of statistical distribution but do not cover
to the tail of statistical distribution area which is low frequency and high severity
risk. VaR is calculated using data from 2010 to 2012 and test the validity of the
data in 2013. Validity test results show that extreme value theory valid method to
measure the potential operational risk of PT Pertamina EP at confidential level of
95% and 99%., The goal of this thesis is to research the validity of the measurement of oil and
gas operational risk at PT Pertamina EP in the period 2010-2013 using the
method of extreme value theory. It is carried out to respond the fact that VaR
modeling is generally focus on the body of statistical distribution but do not cover
to the tail of statistical distribution area which is low frequency and high severity
risk. VaR is calculated using data from 2010 to 2012 and test the validity of the
data in 2013. Validity test results show that extreme value theory valid method to
measure the potential operational risk of PT Pertamina EP at confidential level of
95% and 99%.]
T-Arya Irwan.pdf :: Unduh