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"Tingkat likuiditas dan Yield to Maturity merupakan dua hal yang sangat penting untuk suatu obligasi, termasuk Surat Utang Negara. Menurut beberapa penelitian, tingkat likuiditas ini berpengaruh terhadap tingkat Yield to Maturity dari suatu obligasi. Ada dua metode untuk mengukur tingkat likuiditas dari suatu obligasi. Pertama metode langsung, yaitu berdasarkan data transaksi, dan yang kedua adalah metode tidak langsung, yaitu berdasarkan karakteristik obligasi atau end-of-day prices. Di dalam penelitian ini, penulis menganalisa pengaruh proxy-proxy pengukuran likuiditas tidak langsung, yaitu usia, on-the-run, dan jumlah penerbitan, terhadap Yield to Maturity dari Surat Utang Negara. Dan penulis menemukan bahwa ketiga proxy ini berpengaruh secara signifikan terhadap tingkat Yield to Maturity dari Surat Utang Negara."

"Penelitian ini bertujuan untuk menganalisis premi risiko likuiditas obligasi pemerintah Indonesia pada periode tahun 2005 hingga tahun 2019 dan faktor-faktor determinan yang memengaruhinya. Premi risiko likuiditas dihitung dari selisih antara yield to maturity dan theoretical yield serta rata-rata bid-ask spread dari obligasi tersebut. Penelitian ini menggunakan analisis regresi data panel dengan model Random Effect untuk menentukan faktor-faktor determinan dari premi risiko tersebut. Berdasarkan penelitian ini diperoleh hasil bahwa premi risiko likuiditas obligasi pemerintah Indonesia relatif kecil dan dipengaruhi oleh karakteristik obligasi dan kondisi pasar keuangan Indonesia. Jumlah obligasi yang diterbitkan dan besar kupon berpengaruh signifikan negatif terhadap premi risiko obligasi, sedangkan sisa umur obligasi dan umur obligasi berpengaruh signifikan positif terhadap premi risiko obligasi. Obligasi sukuk memiliki premi risiko likuiditas yang lebih besar dibandingkan obligasi konvensional. Dalam keadaan krisis atau pada saat volatilitas pasar keuangan meningkat, premi risiko likuiditas meningkat. Hasil dari penelitian ini diharapkan dapat memperkaya pemahaman tentang risiko likuiditas pada obligasi pemerintah Indonesia yang dapat bermanfaat bagi otoritas fiskal dan moneter dalam mengambil kebijakan dan bagi investor dalam mengambil keputusan investasi.

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This paper aims to analyze the liquidity risk premium on the Indonesian government bonds. There are two liquidity risk premium proxies to be used, they are the difference between the yield to maturity and the theoretical yield of the obligation and the average bid-ask spread of the obligation. The research uses a regression analysis on the Random Effect panel data model to define the determinant factors of the liquidity risk premium. The result of this research shows that the liquidity risk premium of Indonesian government bonds is relatively small, affected by the bond's characteristics and the financial market condition. The determinant factors are bond's age, coupon rate, remaining life, issued amount, type (Sukuk or conventional), and the Indonesian stock market volatility. The researcher expects that the result of this research will enrich the understanding of the liquidity risk on Indonesian government bonds so that it can be used by the fiscal and monetary authorities and also investors in making decisions."

"Tujuan dari penelitian ini adalah untuk mengeksplorasi kointegrasi dan interdependensi dari yield obligasi pemerintah 10 tahun pada negara-negara ASEAN 4 (Indonesia, Malaysia, Filipina dan Thailand), India, dan Cina dengan yield obligasi pemerintah AS, Jerman, dan Jepang. Penelitian ini mengaplikasikan model estimasi Vector Autoregression (VAR), Impulse Response Function (IRF), Variance Decomposition (VD) dan Granger Causality Test untuk mengobservasi hubungan dua arah antara variabel-variabel penelitian, dan menggunakan data mingguan dari yield obligasi pemerintah 10 tahun dari setiap negara selama periode penelitian Jan 2007 – Des 2022.Hubungan jangka panjang di estimasi dengan Johansen Cointegration Test. Hasil dari analisis menunjukkan bahwa tidak terdapat kointegrasi antara yield obligasi pemerintah 10 tahun untuk negara-negara ASEAN 4, India, dan Cina dengan yield obligasi pemerintah AS, Jerman, dan Jepang. Sementara hubungan jangka pendek di estimasi dengan model VAR. Uji kausalitas dengan Granger Causality menunjukkan pola hubungan satu arah antara negara-negara maju terhadap negara-negara berkembang. Melalui uji IRF dan VD dapat dilihat pengaruh yield obligasi negara AS yang cukup kuat terhadap negara-negara berkembang. Temuan pada penelitian ini diharapkan memperkaya penelitian yang fokus dalam meneliti hubungan antar negara, secara khusus penelitian yang berkonsentrasi pada obligasi pemerintah jangka panjang pada negara-ASEAN dan negara maju. Dan memberikan wawasan untuk strategi investasi bagi investor, serta bagi pemerintah dalam penentuan nilai kupon yield sebagai bagian dari kebijakan strategis.

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The purpose of the study is to explore cointegration and interdependency of 10 years government bond yield of ASEAN 4 countries (Indonesia, Malaysia, Philippines, and Thailand), India, and China with global government bond yield of USA, Germany, and Japan. The research applied estimating model of Vector Autoregression (VAR), Impulse Response Function (IRF), Variance Decomposition (VD) and Granger Causality Test to observe two-way relationship between variables and employed weekly data of 10 years government bond current yield of each country during period of Jan 2007 – Dec 2022.

Long-run relationship is assessed with Johansen Cointegration test. The outcome showed that there are no cointegration (long-run relationship) between 10 years government bond yield for ASEAN 4 countries, India, and China with global government bond yield of USA, Germany, and Japan. Short-run relationship estimated with VAR model. Causality test utilizing Granger Causality portrays one way relationship pattern from developed countries to emerging countries. And trough IRF and VD test strong influence of US bond yield toward emerging market countries is discovered.

The finding on this study enriched research that focused on observing relationship between countries, especially research that concentrated on long term government bond for ASEAN countries and developed countries. And the research unlocked insights for investor on their investment strategy as well as for regulator in determining yield coupon as part of strategic policy."

"[ABSTRAKTingginya porsi kepemilikan asing pada Obligasi Negara (ON) domestikdapat meningkatkan likuiditas dan mengurangi biaya pinjaman pemerintah.Namun demikian, hal ini juga menyimpan risiko dalam hal sudden reversal.Penelitian ini mengamati perilaku investor asing di pasar ON domestik denganmempergunakan model vektor auto regresi (VAR). Dua faktor yangmempengaruhi perilaku asing di pasar ON domestik yaitu pull factor atau faktorinternal dan push factor atau faktor eksternal. Hasil temuan dari estimasi VARmenunjukkan bahwa harga minyak, sebagai faktor eksternal, secara positifmenggerakkan arus dana asing.Analisa dari hasil estimasi Impulse Response Function (IRF) menunjukkanbahwa gejolak dari arus dana asing secara negatif saling mempengaruhi yield ON,leading indicator, dan volatilitas nilai tukar, tetapi berpengaruh positif terhadaptingkat suku bunga. Berdasarkan analisa diatas, penelitian ini memiliki implikasikebijakan antara lain perlunya intervensi pemerintah di pasar sekunder melaluibuyback dan debt switch, pemberlakuan minimum holding period, memperkuatfungsi pengawasan dan supervisi, menembangkan kerangka Bond StabilizationFund (BSF), dan mempromosikan obligasi pembiayaan proyek.

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ABSTRACTHigh foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments? cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds., High foreign ownership of domestic government bonds (GB) could generateliquidity and reduce governments’ cost of borrowing. However, they also containrisk in the case of sudden reversal. This study investigates the behavior of theforeign investors in the domestic Indonesian GB market by applying the vectorauto regression (VAR) model. There are two factors that could determine foreignbehavior in the domestic GB market, namely pull (or internal) factors and push (orexternal) factors. The finding from the VAR estimation provides evidence that oilprice, as a push factor, positively drives foreign capital flows.Dynamic analysis from the Impulse Response Function (IRF) shows that theshock of foreign capital flows negatively respond to GB yield, leading indicator,and exchange rate volatility, and vice versa. However, it has a positive impact oninterest rates and vice versa. Based on its results, this study has important policyimplications, such as government intervention in the secondary market throughbuyback and debt switch, application of a minimum holding period, strengtheningthe control and supervision body, construction of a Bond Stabilization Fundframework, and promotion of project-financing bonds.]"

"Bank Sentral Eropa (ECB) sedang dihadapkan dengan inflasi yang tinggi setelah beberapa dekade inflasi di Zona Euro mencapai tingkat yang sangat rendah. Hal ini mengharuskan ECB mengambil tindakan moneter, yaitu dengan melakukan pengetatan perekonomian yang menyebabkan ECB menaikkan suku bunganya untuk pertama kalinya setelah 11 tahun. Sebuah studi peristiwa (event study) digunakan untuk mempelajari dampak pengetatan moneter terhadap harga obligasi pemerintah di zona euro. Hasil analisis menunjukkan bahwa pengetatan moneter menyebabkan peningkatan imbal hasil (yield) obligasi pemerintah. Dua regresi digunakan untuk menganalisis faktor pendorong abnormal return imbal hasil obligasi selama pengetatan moneter.

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The European Central Bank (ECB) is being faced by a high inflation after decades of low inflation. This led the ECB to take monetary measures by tightening the economy which induced the ECB to increase its interest rates for the first time after 11 years. An event study was conducted to examine the effects this monetary tightening has on the Eurozone government bond prices. The results of the analyses indicated that the monetary tightening lead to increase in government bond yields. Finally, two regressions were run to analyse the drivers of the abnormal returns of bond yields during the monetary tightening. "

"Penelitian ini dilatarbelakangi oleh tingginya yield SBSN yang ditawarkan oleh investor pada lelang Surat Berharga Syariah Negara dibandingkan dengan yield Surat Utang Negara (SUN) pada tenor yang bersesuaian. Tujuan dari penelitian ini adalah untuk mengetahui pengaruh atas perubahan variable kurs, inflasi, IHSG, debt-to-GDP ratio, dan yield SUN terhadap variabel perubahan incoming weighted average yield (WAY) Surat Berharga Syariah Negara yang terbentuk pada lelang SBSN bertenor 5 tahun. Penelitian ini menggunakan metode analisis regresi linier berganda. Penelitian ini mengolah data time series bulanan dari Oktober 2009 sampai dengan Juni 2015. Hasil penelitian menunjukkan bahwa variabel perubahan inflasi dan perubahan yield SUN berpengaruh signifikan dan positif sedangkan variabel perubahan IHSG berpengaruh signifikan dan negatif terhadap variabel perubahan incoming weighted average yield (WAY) Surat Berharga Syariah Negara. Adapun variabel perubahan kurs dan perubahan debt-to-GDP ratio tidak berpengaruh signifikan.

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The background of this study is that bid yield offered by investors in SBSN (sovereign sharia securities) auction frequently higher than market yield of SUN (sovereign bonds) with equivalent tenor. The Purpose of this research is to figure out if five determinants (changes of exchange rate, inflation, Jakarta Composite Index, debt-to-GDP ratio, and yield of sovereign bonds) significantly affecting change of incoming weighted average yield (WAY) SBSN 5 years tenor. In this study, multiple linear regression method has been employed in analyzing monthly time series data from October 2009 to June 2015. The result shows that changes of inflation and yield of sovereign bonds are significant and positive in affecting the dependent variable, while change of Jakarta Composite Index is significant in affecting the dependent variable with negative direction. Meanwhile the changes of exchange rate and debt-to-GDP ratio variable was found to be insignificant."

"Penelitian ini dilakukan dengan tujuan untuk inenguji pengaruh tingkat kelengkapan disclosure terhadap cost elf debt, serta untuk mengetahui arah huhungan tersebut. Karena penelitian ini difokuskan untuk meneliti pengaruh disclosure terhadap cost of debt maka pertanyaan yang ditelaah pada penelitian ini yaitu apakah terdapat pengaruh negatif peningkatan level disclosure terhadap cost of debt.Karena fokus penelitian pada cost of debt maka penelitian ini menggunakan obligasi sebagai objek penelitian. Obligasi yang digunakan adalah obligasi yang diterbitkan dari tahun 1997-2000. Sedangkan untuk perhitungan disclosure didapatkan melalui laporan tahunan perusahaan yang menerbitkan obligasi dari tahun 1996-1999.Penelitian ini menggunakan variabel independen utama yaitu kelengkapan urcwdatory disclosure dan variabel kontrol yang diperkirakan mempengaruhi cost of debt. Dasar penentuan indek kelengkapan disclosure digunakan peraturan BAPEPAM No:17/Bapepam11996. Sedangkan variabel kontrol yang digunakan antara lain margin laba, jumlah total aktiva perusahaan, dan waktu jatuh tempo obligasi (Lang dan Lundholm. 1993 ; Ziebart dan Rieter. 1997).Variabel dependen penelitian ini adalah cost of debt. Penelitian ini inendefinisikan cost of debt melalui dua pendekatan. Pendekatan tersebut adalah Yield lo Maturity (YIELD) dan serta tingkat bunga efektif (BUNGA) obligasi yang pertama kali terbit pada t+l. Proksi untuk YIELD dan BUNGA ini digunakan berdasar penelitian sebelumnya yang dilakukan oleh Sengupta (1998).Pengujian atas model pertama (BUNGA) dan model kedua (YIELD) dilakukan dengan metode regresi linear berganda dengan tehnik OLS (ordirnny least square). Regresi dilakukan antara variabel independen berupa tingkat kelengkapan disclosure heserta variabel kontrol dengan variabel dependen berupa Yield to Maturity (YIELD) serta tingkat bunga efektif (BUNGA). Hasil pengujian model pertama menunjukkan bahwa terdapat pengaruh negatif kelengkapan disclosure terhadap cost of debt yang signifikan pada tingkat alpha 5% (tanda negatif ini sesuai dengan ekspektasi tanda sebeluninya). Sedangkan pada model kedua juga menunjukkan basil yang sama yaitu terdapat pengaruh negatif yang signifikan pada alpha 5%. Hal ini berarli kredilor akan mempertimbangkan kelengkapan disclosure pada mandatory disclosure dalam melihat risiko adanya default. Sehingga apabila hal lain diasumsikan tidak berubali maka perusahaan yang memiliki tingkat kelengkapan yang hesar akan dapat menikmati cost of debt yang yang kecil."

"[ABSTRAKBagi investor, obligasi pemerintah merupakan aset yang cenderung berisiko rendah, namun krisis hutang yang belum lama terjadi di Eropa membuktikan bahwa risiko tersebut sangat mungkin terjadi. Oleh karena itu, investor perlu mengetahui aset yang dijadikan sebagai hedge dan safe haven ketika terjadi penurunan pada perekonomian, khususnya pada pasar obligasi pemerintah Indonesia. Penelitian ini hendak menganalisis kemampuan logam mulia dan logam dasar sebagai instrumen hedging dan safe haven untuk pasar obligasi pemerintah, selama periode 2004-2013. Dengan menggunakan GARCH, penelitian ini menganalisis dua periode krisis, yaitu krisis keuangan dan krisis hutang Eropa, diperoleh bahwa logam mulia lainnya, khususnya perak mampu memberikan perlindungan bagi investor pada penurunan secara mendadak dalam perekonomian dibandingkan emas. Untuk logam dasar, tembaga, aluminium, dan nickel menunjukkan kemampuan yang lebih kuat sebagai safe haven dibandingkan logam mulia. Ditemukan bahwa memegang logam secara individu memberikan perlindungan yang lebih kuat dibandingkan dengan memegang portofolio logam. Terakhir, dengan menganalisis performa logam 20 hari setelah terjadi syok negatif pada harga obligasi, ditemukan bahwa perak merupakan logam yang memiliki performa terbaik.

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ABSTRACT

, Government bond is known to be low risk, but the recent debt crisis has proven that the risk is likely to happen. Therefore, investors have the necessary to know which asset could provide the protection from sudden decrease in the economy, specifically within the Indonesian government bond market. By analyzing 10 different metals during 2004-2013 this research aims to find potential hedging instruments and safe haven assets for the Indonesian government bond market. Using GARCH, this research analyzes two crisis periods, the financial crisis and European debt crisis, it was found that other precious metals, specifically silver, provide greater compensation for the bond market losses than gold. While industrial metals such as copper, aluminum, and nickel tend to outperform precious metals as hedge and safe haven at certain times. Also, holding the metals individually will offer a greater protection than in the form of portfolio and within analyzing the performance 20 days after an immediate negative bond price shock, it was shown that silver is the best performing metal within the period.

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"ABSTRAKPenelitian ini bertujuan untuk (a) menilai besarnya potensi kerugian maksimum atas investasi Obligasi Syariah Ijarah jika menggunakan pendekatan model Durasi; (b) menilai besarnya potensi kerugian maksimum atas investasi Obligasi Syariah Ijarah jika menggunakan pendekatan model VaR (Variance Covariance); (c) memastikan bahwa model VaR adalah akurat dan valid sebagai metode yang digunakan untuk mengukur risiko kerugian investasi atas Obligasi Syariah Ijarah.Data yang digunakan dalam penelitian ini adalah data sekunder berupa data time-series harga 5 Obligasi Syariah Ijarah yang diperdagangkan meialui Over The Counter Fixed Income Service (OTC-FIS) selama Januari 2005 sampai Juni 2006. Adapun teknik pengambilan sampelnya menggunakan non probability sampling, lebih spesifiknya lagi quota sampling.Hasil pengukuran yang dilakukan dengan menggunakan pendekatan model VaR (Variance Covariance) menunjukkan potensi risiko yang lebih rendah jika dibandingkan dengan pendekatan model Durasi, perhitungan ini. didukung dengan uji validitas terhadap kedua model tersebut dengan hasil yang valid. Karena itu dalam pengukuran risiko Obligasi Syariah Ijarah, selain menggunakan model Durasi seperti yang selama ini telah digunakan, bank pun , dapat menggunakan model alternatif VaR.

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ABSTRAK

This research tends to (a) estimate the maximum potential loss on Sharia Ijarah Bonds given by Duration model; (b) estimate the maximum potential loss on Sharia Ijarah Bonds given by Variance Covariance model; (c) ascertain that Variance Covariance model is accurate and valid in assessing the maximum potential loss on Sharia Ijarah Bond.

The database used in this research is secondary data of Sharia Ijarah Bond prices traded through Over The Counter Fixed Income Service (OTC-FIS), taken from January 2005 to Juni 2006. Undertaking technical non probability sampling there are 5 Sharia Ijarah Bonds chosed as the samples.

The result shows that Variance Covariance model has lower market risk estimation compared to that of Duration model. This implies that capital charge for market risk based on Duration model is higher than that of the Variance Covariance model. Nevertheless, concerning backtesting (Loglikelihood Ratio Test), either Variance Covariance or Duration model is valid. Therefore, the measurement of capital charges using both of them in Sharia Ijarah Bond is recommended."

"Penelitian ini adalah penelitian tentang Obligasi Beragun Aset. Penelitian ini menggunakan Simulasi Monte-Carlo sebagai pengganti data expected recovery rate yang datanya tidak tersedia di Indonesia Sehingga dapat diprediksi Obligasi Beragun Aset dari originator 14 Bank yang telah Go Public di Indonesia mana saja dan pada pemberian kredit pada sektor ekonorni mana saja yang layak untuk diterbitkan, pada tingkat expected recovery rate berapa Obligasi Beragun Aset tersebut layak untuk diterbitkan, dan baga!mana karakteristik dari Obligasi Beragun Aset di Indonesia sesuai dengan hasil perhitungan yang telah dilakukan.Penelitian ini menghasilkan 3 proposisi tentang Obligasi Beragun Aset, yaitu: 1.) Obligasi Beragun Aset yang lebih disukai adalah Obligasi Beragun Met yang merniliki probabilitas default pada kredit yang disekuritisasikan yang lebih besar. 2.)Semakin besar default probability la-edit yang disekuritisasikan dalam suatu Obligasi Beragun Aset maka semakin besar sensitivitas perubahan harga terhadap perubahan expected recovery ratenya 3.)Perubahan harga suatu Obligasi Beragun Met, berbanding lures atau positif dengan perubahan expected recovery ratenya.Proposisi pertama konsisten dengan hasil penelitian yang dilakukan oleh Blume, Keim, dan Patel (1991), Penelitian dalam tesis ini adalah untuk Efek Beragun Met yang memberikan kupon tetap kepada pemiliknya atau disebut sebagai Obligasi Beragun Aset Pendapatan Tetap dan sama sekali tidak menyinggung Efek Beragun Aset yang berbentuk saham dan Obligasi Beragun Aset Bunga Mengambang.

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This study is concerning the Asset Backed Bonds. The research uses the Monte-Carlo Simulation as a substitute for the expected recovery rate data which is not available in Indonesia. Consequently, it can be predict which sector credit of originator 14 Go Public Banks that can be issued as Asset Backed Bonds and at what expected recovery rate and how the characteristic of Asset Backed Bonds in Indonesia uses this calculation.

This research produces 3 propositions regarding Asset Backed Bonds: 1). The most preferable Asset Backed Bonds is the one that has larger default probability in its securitized credit. 2.) The bigger default probability of securitized credit, its price changes becoming more sensitive to its expected recovery rate. 3.) The price changes of Asset Backed Bonds are positively related to the changes of its expected recovery rate.

The first proposition is consistent with the results found by Blume, Kelm, and Patel (1991). The research in this thesis only discuss the Mortgage Backed Securities which give fixed coupon rate to its owner, also known as the Fixed Rate Asset Backed Bonds and doesn't mentioning the Mortgage Backed Securities in stocks form and Floating Rate Asset Backed Bonds."