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"Using the application of risk measuring, Operational Value at Risk (VaR) , is measuring risk that could arise and thus 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 Aggregation method it will form the Aggregation Loss Distribution with Aggregate Best Frequency Distribution, Poisson, distribution and Best Severity Distribution , Exponential Distribution .Computation 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 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."

"Tesis ini menganalisis cadangan klaim asuransi kebakaran dengan menggunakan metode Extreme Value Theorem - Generalized Pareto Distribution, sebagai salah satu metode untuk pengukuran kerugian risiko operasional. Permodelan untuk nilai klaim besar dilakukan melalui pendekatan Peaks Over Threshold (POT). Data yang digunakan untuk perhitungan OpVaR adalah data-data ekstrim yang berada di atas threshold. Penentuan threshold dilakukan dengan menggunakan metode sample mean excess function. Uji Kolmogorov-Smirnov dilakukan untuk menguji jenis distribusi data kemudian dilakukan penentuan estimasi parameter (dengan menggunakan Hill Estimator dan Probability Weighted Moments) untuk menghitung OpVaR dan Expected Shortfall. Uji Loglikelihood Ratio (Kupiec’s Test) dilakukan dengan tingkat kepercayaan 95%, 97.5% dan 99% untuk menguji apakah model dapat diterima untuk mengestimasi nilai cadangan klaim asuransi kebakaran. OpVaR yang dihasilkan dapat dijadikan acuan untuk perencanaan program reasuransi yang merupakan salah satu cara dalam proses manajemen risiko. ......This paper analyzing fire insurance claim reserve by using Extreme Value Theorem method - Generalized Pareto Distribution, as one of the method to measure operational risk. Peaks Over Threshold is used for modelling the big losses (claims). Extreme data above the threshold are taken into the calculation of OpVaR. The threshold is determined by using sample mean excess function method. Type of severity distribution of the data is evaluated by Kolmogorov- Smirnov test and parameters are estimated (by using Hill Estimator and Probability Weighted Moments) to calculate OpVaR and Expected Shortfall. Loglikelihood Ratio test (Kupiec’s test) on the confidence level of 95%, 97.5% and 99% is executed to test the validity of the model whether it is acceptable to estimate the fire insurance claim reserve or not. The OpVaR shall be the referrence for planning the reinsurance program as one of the process in risk management."

"ABSTRAKBelum ada peraturan yang mengharuskan perusahaan di luar industri keuangandan perbankan untuk menerapkan manajemen risiko, karenanya saat ini PT XYZbelum memiliki pengukuran risiko khususnya risiko operasional. Namun perusahaanmenyadari bahwa retail minimarket modern yang dikelolanya memilikipotensi risiko operasional yang besar yang mungkin dihadapinya di kemudianhari, maka ada keinginan kuat dari perusahaan untuk menerapkan manajemenrisiko. Penelitian ini dilakukan untuk mengidentifikasi, mengukur cadangankerugian risiko operasional (operational Value at Risk), dan memitigasi risiko operasionalyang mungkin dialami oleh PT. XYZ. Dari proses indentifikasi ditemukanbahwa risiko operasional yang paling signifikan terhadap bisnis perusahaan adalahrisiko hilangnya persediaan barang dagangan di toko ritel minimarket. PengukuranOpVaR dilakukan dengan menggunakan metode loss distribution approach menghasilkanangka sebesar Rp. 11.885.041.054 dan dinyatakan valid setelah dilakukanbacktesting.

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ABSTRACTThere are no regulations requiring companies outside the financial and bankingindustry to implement risk management, hence the current PT. XYZ does not havea particular risk measurement of operational risk. However, the company realizedthat retail modern minimarket has great potential operational risks that may be encounteredin the future, then there is a strong desire of companies to implement riskmanagement. This study was conducted to identify, measure operational risk lossreserves or Operational Value at Risk, and mitigate operational risks that may beexperienced by PT. XYZ. From the identification process, this study finds that themost significant operational risks to the company?s business is the risk of loss ofmerchandise supply in a retail minimarket store. OpVaR measurements performedusing the loss distribution approach amounted to IDR 11,885,041,054 and declaredvalid after backtesting."

"Abstrak ini menggambarkan analisis komprehensif mengenai risiko operasional yang terkait dengan pelaksanaan proyek Engineering, Procurement, dan Construction (EPC) dengan menggunakan metode Loss Distribution Approach (LDA). Penelitian ini menggunakan data historikal kerugian operasional pelaksanaan proyek EPC sejak Januari 2019 hingga Desember 2022. Penelitian ini menunjukkan nilai Operational Value At Risk sebesar Rp17,68 miliar dengan percentile 95% dan Rp41,44 miliar dengan percentile 99% yang telah dinyatakan valid setelah dilakukan Back Testing. Dengan dilakukannya analisis kerugian berbasiskan data historikal, diharapkan perusahaan EPC yang mengalami kerugian dapat memahami dan menjadikan penelitian ini sebagai lesson learned dan memitigasi risiko operasional yang mungkin terjadi pada proyek yang sedang berjalan sehingga potensi kerugian dapat diminimalisir.......This abstract describes a comprehensive analysis of operational risks in engineering, procurement, and construction (EPC) business by using calculation of loss distribution approach methods. This research uses the historical of operational losses from January 2019 to December 2022. This research shows the Operational Value At Risk is Rp17,68 billion with percentile 95% and Rp41,44 billion with a percentile of 99% and declared valid after Back Testing. By carrying out analysis losses based on historical data, the EPC companies are expected to be able to understand and make this research a lesson learned and mitigate operational risks that may occur in ongoing projects in order to minimize the potential loss."

"Karya akhir ini membahas perhitungan risiko operasional dengan menggunakan metode LDA Aggregation. Selain itu juga dibahas mengcnai penerapan manajemen risiko di PT. ABC. Sebagai perusahaan manufaktur, PT ABC terekspose risiko operasional pengembalian produk rusak oleh pelanggan (customer return), yang nilainya sangat mempengaruhi variabilitas net profit. Pengukuran potensi kerugian risiko operasional berupa operational value al risk (OpVaR) menggunakan model LDA Aggregation, menghasilkan nilai sebesar Rp800.387.847,- (pada tingkat kcyakinan 95%) dan Rp1.992.724.386,- (pada tingkat keyakinan 99%). Hasil Back testing menggunakan Loglikelihood Razio menunjukkan bahwa model LDA Aggregation valid digunakan untuk menghitung potensi kemgian. Hasil penelitian menyarankan kepada PT ABC untuk menggunakan model LDA Aggregarion untuk penghitungan potensi kerugian risiko operasional dan menerapkan manajemen risiko untuk rnengelola risiko yang dihadapi perusahaan. Khusus untuk mitigasi risiko pengembalian produk oleh pelanggan, perusahaan perlu melakukan reduce risk dan transfer risk karena risiko pengembalian produk oleh pelanggan masuk dalam kategori risiko hiyt, baik dari segi likeiihood maupun dari segi impact. ......The focus of this study is the calculation of operational risk by using LDA Aggregation method. It also discussed about the implementation of risk management at PT ABC. As a manufacturing company, PT ABC expose to operational risks such as defective product returns by customers (customer retum), whose value is affecting net profit variability significantly. Measurement of potential operational risk losses in the form of operational value at risk (OpVaR) using LDA Aggregation model, generate value Rp800.387.847,- (at 95% confidence level) and Rpl.992.724.386,- (at 99% confidence level). Back testing results using Loglikelihood ratio indicates that the model is valid to calculate potential losses. The results suggest that PT ABC to use the LDA Aggregation model for calculating the potential of operational risk losses and apply risk management to manage the risks facing the company. Especially for mitigation of the customer return risk, companies need to reduce risk and transfer risk because the risk of product returns by customers tits into the category of high risk, both in terms of likelihood and impact."