[
ABSTRAKTesis ini membahas pengukuran dan analisis besarnya proporsi risiko nilai tukar
mata uang asing terhadap keseluruhan risiko sistematik dari portofolio investasi
saham di Indonesia. Risiko sistematik diukur sebagai systematic Value at Risk
(VaR). Risiko sistematik dapat diuraikan menjadi komponen-komponen
marjinalnya, yaitu komponen risiko nilai tukar dalam bentuk foreign exchange
(forex) marginal VaR dan komponen risiko ekuitas dalam bentuk equity marginal
VaR dengan metode Value at Risk decomposition technique. Penelitian dilakukan
dengan mengukur forex marginal VaR dari nilai tukar mata uang USD, JPY,
KRW, GBP, dan SGD terhadap Rupiah pada periode Januari 2012 sampai April
2014. Hasil penelitian ini menunjukkan bahwa nilai forex marginal VaR dan
proporsi forex marginal VaR terhadap systematic VaR terbesar dimiliki oleh
mata uang JPY, sedangkan nilai forex marginal VaR dan proporsi forex marginal
VaR terhadap systematic VaR terkecil dimiliki oleh mata uang USD.
ABSTRACTThe purpose of this study is to measure and analyze the contribution of foreign
exchange risk to Indonesian portfolio systematic risk. The value of systematic
Risk is measured as systematic Value at Risk (VaR), which can be decomposed
into its marginal component of foreign exchange risk, measured as foreign
exchange (forex) marginal VaR, and marginal component of equity risk,
measured as equity marginal VaR using Value at Risk decomposition technique.
This study investigates forex marginal VaR of five different foreign exchanges in
Indonesia, which are USD, JPY, KRW, GBP, and SGD from January 2012 until
2014. The result shows that the highest proportion of forex marginal VaR to
systematic VaR belongs to JPY and the lowest proportion of forex marginal VaR
to systematic VaR belongs to USD.;The purpose of this study is to measure and analyze the contribution of foreign
exchange risk to Indonesian portfolio systematic risk. The value of systematic
Risk is measured as systematic Value at Risk (VaR), which can be decomposed
into its marginal component of foreign exchange risk, measured as foreign
exchange (forex) marginal VaR, and marginal component of equity risk,
measured as equity marginal VaR using Value at Risk decomposition technique.
This study investigates forex marginal VaR of five different foreign exchanges in
Indonesia, which are USD, JPY, KRW, GBP, and SGD from January 2012 until
2014. The result shows that the highest proportion of forex marginal VaR to
systematic VaR belongs to JPY and the lowest proportion of forex marginal VaR
to systematic VaR belongs to USD., The purpose of this study is to measure and analyze the contribution of foreign
exchange risk to Indonesian portfolio systematic risk. The value of systematic
Risk is measured as systematic Value at Risk (VaR), which can be decomposed
into its marginal component of foreign exchange risk, measured as foreign
exchange (forex) marginal VaR, and marginal component of equity risk,
measured as equity marginal VaR using Value at Risk decomposition technique.
This study investigates forex marginal VaR of five different foreign exchanges in
Indonesia, which are USD, JPY, KRW, GBP, and SGD from January 2012 until
2014. The result shows that the highest proportion of forex marginal VaR to
systematic VaR belongs to JPY and the lowest proportion of forex marginal VaR
to systematic VaR belongs to USD.]
T-Andre Bramandita Linting.pdf :: Unduh