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"Tesis ini membahas analisis Value at Risk dan Expected Shortfall menggunakan model volatilitas GARCH terhadap indeks saham dan nilai tukar local currency terhadap US dollar pada delapan negara emerging market Asia. Periode perkiraan penilaian risiko antara 01 Januari 1997 sampai dengan 31 Desember 2009 dan periode validasi out of sample 01 Januari 2010 sampai dengan 31 Maret 2014. Penilaian model menggunakan back testing terhadap data in sample dan out of sample. Hasil analisis menunjukkan bahwa pengukuran volatilitas return indeks saham dan nilai tukar dengan model GARCH dianggap tepat. Perkiraan risiko kerugian indeks saham menggunakan Value at Risk berdasarkan model volatilitas GARCH dapat digunakan pada confidence level 95%, sementara Expected Shortfall dapat digunakan sebagai alternatif pengukuran risiko pada confidence level 99%. Sedangkan untuk memperkirakan risiko kerugian nilai tukar dapat menggunakan Expected Shortfall pada confidence level 99%.

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This thesis describes the analysis of Value at Risk and Expected Shortfall using GARCH volatility models of the stock indices and exchange rate of local currency against the U.S. dollar in eight Asian emerging market countries. The estimation period of risk measurement is between January 1, 1997 until December 31, 2009 and out of sample validation period is January 1, 2010 until March 31, 2014. Assessment model using back testing in sample and out of sample data.

The analysis showed that the measurement of return volatility of stock indices and exchange rates by the GARCH model is appropriate. Estimating loss using Value at Risk based on GARCH volatility models of stock indices is appropiate to be applied at 95% confidence level, while the Expected Shortfall can be used as an alternative of risk measurement at the 99% confidence level. Whereas estimating the risk of exchange rate losses can use the Expected Shortfall at 99% confidence level."

"Tesis ini membahas mengenai analisis model bisnis cloud hospital information system. PT Buana Varia Komputama adalah perusahaan yang sudah lama terlibat dalam sistem informasi rumah sakit, sejak tahun 2000. Cloud hospital information system adalah rencana produk software baru dari PT Buana Varia Komputama yang membutuhkan model bisnis. Tesis ini menganalisis model bisnis yang dapat digunakan untuk rencana produk cloud hospital information system tersebut serta membahas langkah-langkah pembuatan model bisnis untuk produk tersebut.

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This thesis explores the design of the business model for cloud hospital information system. PT Buana Varia Komputama is an Indonesian company that has been involved in hospital information system software for a long time, since year 2000. Cloud hospital information system is a planned new software product from PT Buana Varia Komputama that needs business model. This thesis analyzes the usable business model for the planned cloud hospital information system product and discusses the steps of the creation of the business model for that product."

"Model bisnis yang unik, aset tangible yang relatif kecil, dan aset intangible yang besar membuat perusahaan media sosial sulit untuk dinilai. Aset intangible perusahaan media sosial mencakup jumlah pengguna gratis yang secara tidak langsung akan menambah pendapatan mereka melalui partner-partner yang ingin menyerap pasar dalam dunia internet. Baru-baru ini perusahaan media sosial yang masih muda Twitter Inc. melakukan IPO dalam kondisi keuangan yang masih merah dan historikal keuangan yang tidak stabil. Penelitian ini berupa studi kasus untuk melakukan valuasi harga saham pada Twitter Inc. Valuasi dilakukan dengan metode Discounted Cash Flow dengan melakukan beberapa penyesuaian dan asumsi. Dari hasil penelitian diketahui bahwa pada skenario pertumbuhan yang lambat harga saham Twitter adalah $19.46, skenario pertumbuhan normal harga saham Twitter adalah $30.34, dan skenario pertumbuhan cepat harga saham Twitter adalah $46.53.

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Unique business model, relative small tangible assets, and large intangible assets make social media companies difficult to assess. Intangible assets cover free users that will indirectly add to their revenue through partners who want to tap into the internet market in the world. Recently, Twitter Inc. as a young social media company perform an IPO in still red financial condition and unstable financial history. This research is a case study to conduct valuation at Twitter Inc. Valuation carried out by the Discounted Cash Flow method with some adjustments and assumptions. The results revealed that in slow growth scenario Twitter stock price is $ 19.46, normal growth scenario Twitter stock price is $ 30.34, and rapid growth scenario Twitter stock price is $ 46.53"

"[ABSTRAKPenelitian ini bertujuan untuk menganalisis bagi perusahaan untuk dapat mengantisipasi kebangkrutan. Penelitian ini menggunakan dari rasio-rasio keuangan dari tahun 2010 sampai 2014.Pada penelitian ini dalam melakukan analisis menggunakan model Altman untuk memprediksi kebangkrutan yang di batasi pada perusahaan-perusahaan pengembang properti. Dimana sampel yang digunakan adalah 35 perusahaan dengan menggunakan rasio-rasio keuangan sebagai indikator atas keadaan likuiditas, efisien, leverage, dan probabilitas perusahaan.Pemodelan ini menggunakan metode analisis diskriman untuk memperoleh model yang baik. Hasil dari analisis diskriminan ini didapat rasio yang berpengaruh yaitu Working Capital, Total liabilities, Retain Earning , Total Asset, MVE,EBIT terhadap kebangkrutan.

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ABSTRACTThis study aimed to analyze for companies to be able to anticipate bankruptcy. This study use financial ratios from 2010 to 2014. In this research using Altman model for bankruptcy in the limit on property development companies. The samples used were 35 companies using financial ratios as an indicator of the state of liquidity, efficient, leverage, and the probability of the company. This modeling a method discriminant analysis to obtain a good model. Results of discriminant analysis is obtained that affect the ratio current assets, current liabilities, net income, Retain Earnings, Total Assets, Operating Income, Net Sales for bankruptcy.;This study aimed to analyze for companies to be able to anticipate bankruptcy. This study use financial ratios from 2010 to 2014. In this research using Altman model for bankruptcy in the limit on property development companies. The samples used were 35 companies using financial ratios as an indicator of the state of liquidity, efficient, leverage, and the probability of the company. This modeling a method discriminant analysis to obtain a good model. Results of discriminant analysis is obtained that affect the ratio current assets, current liabilities, net income, Retain Earnings, Total Assets, Operating Income, Net Sales for bankruptcy.;This study aimed to analyze for companies to be able to anticipate bankruptcy. This study use financial ratios from 2010 to 2014. In this research using Altman model for bankruptcy in the limit on property development companies. The samples used were 35 companies using financial ratios as an indicator of the state of liquidity, efficient, leverage, and the probability of the company. This modeling a method discriminant analysis to obtain a good model. Results of discriminant analysis is obtained that affect the ratio current assets, current liabilities, net income, Retain Earnings, Total Assets, Operating Income, Net Sales for bankruptcy.;This study aimed to analyze for companies to be able to anticipate bankruptcy. This study use financial ratios from 2010 to 2014. In this research using Altman model for bankruptcy in the limit on property development companies. The samples used were 35 companies using financial ratios as an indicator of the state of liquidity, efficient, leverage, and the probability of the company. This modeling a method discriminant analysis to obtain a good model. Results of discriminant analysis is obtained that affect the ratio current assets, current liabilities, net income, Retain Earnings, Total Assets, Operating Income, Net Sales for bankruptcy., This study aimed to analyze for companies to be able to anticipate bankruptcy. This study use financial ratios from 2010 to 2014. In this research using Altman model for bankruptcy in the limit on property development companies. The samples used were 35 companies using financial ratios as an indicator of the state of liquidity, efficient, leverage, and the probability of the company. This modeling a method discriminant analysis to obtain a good model. Results of discriminant analysis is obtained that affect the ratio current assets, current liabilities, net income, Retain Earnings, Total Assets, Operating Income, Net Sales for bankruptcy.]"

"Tesis 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.

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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%."

"Penelitian ini bertujuan untuk menganalisis efektivitas hedging komoditi di Bursa Berjangka Jakarta. Pada penelitian ini dilakukan pendekatan ekonometrika dengan menggunakan 4 model, yaitu OLS, VAR, VECM dan ARCH-GARCH. Hasil penelitian menunjukkan bahwa hasil estimasi efektivitas hedging model VECM superior dibandingkan dengan model lain. Secara kesuluran, efektivitas hedging komoditi yang diperdagangkan di BBJ rendah, hanya komoditi Robusta dan Arabika yang baik sebagai alat mitigasi risiko. BBJ sebaiknya mengkondisikan iklim perdagangan semakin mendekati kondisi perfect hedge, sementara dalam bertransaksi sebaiknya hedger memerhatikan bulan jatuh tempo kontrak sehingga mendapatkan utilitas semaksimal mungkin.

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This research is to analyze hedging effectiveness of commodity on the Jakarta Futures Exchange. Analysis on the research done with the approach of econometrics, i.e. regression analysis using 4 models, namely OLS, VAR, VECM and ARCH-GARCH. The results show that VECM models is superior from other models in analyzing hedging effectiveness of commodity in BBJ. Overall, commodities traded at Jakarta Futures Exchange is low, only Robusta and Arabica has high capability of mitigating risk. BBJ should customize the trading climate approaching to the condition of perfect hedge, while in a transaction should be looking at the maturity month contracts so hedger can get the most utility."

"Tesis 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.

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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."

"Penelitian ini menguji secara empiris pengaruh imbal hasil pasar modal dan suku bunga terhadap imbal hasil REITs serta karakteristik spesifik masing-masing REITs dapat mempengaruhi paparan dari pengaruh-pengaruh tersebut. Karakteristik spesifik REITs yang diteliti adalah struktur aset, leverage, manajemen dan spesialisasi. Dari hasil penelitian ini didapatkan bahwa imbal hasil REITs dipengaruhi oleh pasar modal, sedangkan suku bunga tidak berpengaruh. Risiko tersebut berbeda paparannya untuk masing-masing REITs berdasarkan struktur asetnya. Sedangkan karakteristik spesifik REITs lainnya tidak berpengaruh terhadap risiko dari pasar modal.

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This research empirically tests the relationship between market return and interest rate with REITs return. This study also research whether specific characteristics of each REITs can affect the risk from those factors. The REITs specific characteristics that will be studied in this research are asset structures, leverage, management, and specialization. The result from this research is that REITs return have relationship with market return, whereas interest rate not affecting the return of REITs. Those risk differently affect each REITs depends on its asset structure. Other specific REITs characteristic not affect their risk from market."

"Penelitian ini bertujuan untuk mengetahui pengaruh nilai fleksibilitas keuangan terhadap kebijakan dan keputusan keuangan perusahaan pada sektor nonkeuangan di Indonesia. Penelitian ini terdiri dari 91 perusahaan yang berasal dari delapan sektor, meliputi pertanian, industri dasar & kimia, industri barang konsumsi, infrastruktur & transportasi, pertambangan, aneka industri, properti, real estate, & konstruksi bangunan, dan perdagangan & jasa dengan menggunakan data sekunder. Metode pengambilan sampel dalam penelitian ini menggunakan purposive sampling. Uji statistik yang digunakan adalah uji data panel EGLS (cross-section weights). Hasil penelitian menunjukkan adanya pengaruh signifikan secara negatif antara nilai fleksibilitas keuangan terhadap kebijakan dividen pada sektor pertanian dan properti, real estate, & konstruksi bangunan. Terdapat pengaruh signifikan secara negatif antara nilai fleksibilitas keuangan terhadap keputusan struktur modal pada sektor barang konsumsi dan perdagangan & jasa. Terdapat pengaruh signifikan secara positif antara nilai fleksibilitas keuangan terhadap kepemilikan kas pada sektor infrastruktur & transportasi dan perdagangan & jasa. Hal ini menunjukkan bahwa nilai fleksibilitas keuangan menjadi salah satu pertimbangan penting dalam menetapkan kebijakan dan keputusan keuangan di suatu perusahaan.

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The purpose of this study is to determine the effect of value of financial flexibility to corporate financial policy and decision on the non-financial sector in Indonesia. This study conducted to 91 companies from eight sectors, including agriculture, basic industry & chemicals, consumer goods, mining, miscellaneous industry, property, real estate, & building construction, and trade & service using secondary data. The sampling method in this study is using purposive sampling. Statistical test used is panel data EGLS (cross-section weights).

The result shows that value of financial flexibility have a significant negative effect to dividend policy on agriculture and property, real estate, & construction. There is significant negative effect between value of financial flexibility to capital structure decision in costumer goods sector and trade & service. There is significant positive effect between value of financial flexibility to cash holding in infrastructure & transportation, and trade & service. This indicates that the value of financial flexibility is one of the important considerations in determining financial policy and decision in a company."

"Pada tahun 2009, pemerintah melalui kementrian keuangan menerapkan sistem cukai spesifik pada semua produk hasil tembakau dimana ini merupakan perubahan besar dari sistem cukai sebelumnya. Sistem spesifik ini menghasilkan multi tarif cukai yang menyebabkan struktur cukai rokok menjadi sangat kompleks, maka dari itu Pemerintah selanjutnya mencoba untuk menyederhanakan sistem cukai rokok dengan menghilangkan tarif cukai rokok rendah dan menggabungkannya dengan tarif rokok yang lebih tinggi. Di saat yang sama setiap tahun pemerintah selalu menaikkan tarif cukai rokok untuk meningkatkan pemasukan Negara. Hal ini menyebabkan biaya produksi untuk setiap batang rokok menjadi tinggi bagi para produsen rokok. Tesis ini membahas pengaruh simplifikasi struktur cukai rokok terhadap kinerja keuangan dan strategi harga di industri rokok Indonesia dimana para produsen rokok akan merespon dengan menaikkan harga rokok pada konsumen dan menerapkan strategi harga yang efektif. Pada level perusahaan, penelitian ini membuktikan bahwa pengaruh cukai rokok memiliki hubungan yang sangat signifikan terhadap pricing dan profit margin pada perusahaan rokok di Indonesia.

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Since 2009, government imposed a large, nearly uniform specific tax for all tobacco products and this represents a major change from the previous excise structure. This has resulted a multi-tier excise tariff and very complicated excise structure, thus Government plan to simplify the excise structure by eliminating lower-tiered rates to the higher-tiered rates and increasing the rates every year thus making it expensive for manufactures.

This study aims to examine the impact of the recent changes in cigarette excise structure simplification towards the financial performance of cigarette manufacturers in Indonesia in which the manufacturers will response and establish effective pricing strategies. On a company level, this research has proven that the impact of excise structure simplification significantly relates to manufacturer's pricing and profit margin in Indonesia cigarette industry."