Artikel Jurnal :: Kembali

Artikel Jurnal :: Kembali

Pengukuran resiko operasional internal process dengan metode LDA aggregation : studi kasus PT.X

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 Abstrak

Using the application of risk mesuring methods on banking industry, Operational Value at Risk (VaR), is measuring risk that could arise and thuse leading to a certain nominal that is used for reserve, including for managing a company. The method that is used for measuring operational risk is the LDA Aggregation Method. Historical data of the operational risk on the internal process from receiving shrimp process at PT.X is based on the internal audit result of PT. X. Furthermore, with the Agregation method it will form the Aggregation Loss Distribution with Aggregate best Frequency Distribution, Poisson Distribution and Best Severity Distribution, Exponential Distribution. Computationn is conducted with the spreadsheet Excel with 10.000 times of Monte Carlo simulation to calculate the maximum potential loss of Operational VaR based on the quantifyable method with a degree of freedom of 95%. Based on the back testing result of the Kupiec Test, the model could be implemented for measuring the operational internal process risk from receiving shrimp process at PT. X. The the next step for obtaining an accurate model. PT. X should then regularly up-date the model with the newest data and validate the test through back testing process.

 Metadata

Jenis Koleksi : Artikel Jurnal
No. Panggil : TEMEN 5:1 (2010)
Subjek :
Sumber Pengatalogan :
ISSN : 19074913
Majalah/Jurnal : Telaah Manajemen :jurnal riset dan konsep manajemen 5 (1) Mei 2010. Hal. : 17-37
Volume :
Tipe Konten :
Tipe Media :
Tipe Carrier :
Akses Elektronik :
Institusi Pemilik : Universitas Indonesia
Lokasi : Perpustakaan Universitas Indonesia, lantai 4, R. Koleksi Jurnal
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