[ABSTRAK Tesis ini membahas pengukuran dan analisis besarnya proporsi risiko nilai tukarmata uang asing terhadap keseluruhan risiko sistematik dari portofolio investasisaham di Indonesia. Risiko sistematik diukur sebagai systematic Value at Risk(VaR). Risiko sistematik dapat diuraikan menjadi komponen-komponenmarjinalnya, yaitu komponen risiko nilai tukar dalam bentuk foreign exchange(forex) marginal VaR dan komponen risiko ekuitas dalam bentuk equity marginalVaR dengan metode Value at Risk decomposition technique. Penelitian dilakukandengan mengukur forex marginal VaR dari nilai tukar mata uang USD, JPY,KRW, GBP, dan SGD terhadap Rupiah pada periode Januari 2012 sampai April2014. Hasil penelitian ini menunjukkan bahwa nilai forex marginal VaR danproporsi forex marginal VaR terhadap systematic VaR terbesar dimiliki olehmata uang JPY, sedangkan nilai forex marginal VaR dan proporsi forex marginalVaR terhadap systematic VaR terkecil dimiliki oleh mata uang USD. ABSTRACT The purpose of this study is to measure and analyze the contribution of foreignexchange risk to Indonesian portfolio systematic risk. The value of systematicRisk is measured as systematic Value at Risk (VaR), which can be decomposedinto its marginal component of foreign exchange risk, measured as foreignexchange (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 inIndonesia, which are USD, JPY, KRW, GBP, and SGD from January 2012 until2014. The result shows that the highest proportion of forex marginal VaR tosystematic VaR belongs to JPY and the lowest proportion of forex marginal VaRto systematic VaR belongs to USD.;The purpose of this study is to measure and analyze the contribution of foreignexchange risk to Indonesian portfolio systematic risk. The value of systematicRisk is measured as systematic Value at Risk (VaR), which can be decomposedinto its marginal component of foreign exchange risk, measured as foreignexchange (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 inIndonesia, which are USD, JPY, KRW, GBP, and SGD from January 2012 until2014. The result shows that the highest proportion of forex marginal VaR tosystematic VaR belongs to JPY and the lowest proportion of forex marginal VaRto systematic VaR belongs to USD., The purpose of this study is to measure and analyze the contribution of foreignexchange risk to Indonesian portfolio systematic risk. The value of systematicRisk is measured as systematic Value at Risk (VaR), which can be decomposedinto its marginal component of foreign exchange risk, measured as foreignexchange (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 inIndonesia, which are USD, JPY, KRW, GBP, and SGD from January 2012 until2014. The result shows that the highest proportion of forex marginal VaR tosystematic VaR belongs to JPY and the lowest proportion of forex marginal VaRto systematic VaR belongs to USD.] |