PENERAPAN MODEL VAR DALAM PENGUKURAN RISIKO PENURUNAN OPERATIONAL REVENUE PADA INDUSTRI TELEKOMUNIKASI

Giriningtyas Dina Theresia; Ruli Satya Dharma; Batara Maju Simatupang

doi:10.35384/jemp.v1i2.33

PENERAPAN MODEL VAR DALAM PENGUKURAN RISIKO PENURUNAN OPERATIONAL REVENUE PADA INDUSTRI TELEKOMUNIKASI

Authors

Giriningtyas Dina Theresia Pascasarjana ABFI Institute Perbanas Jakarta
Ruli Satya Dharma Pascasarjana ABFI Institute Perbanas Jakarta
Batara Maju Simatupang Program Pascasarjana Magister Manajemen STIE Indonesia Banking School

DOI:

https://doi.org/10.35384/jemp.v1i2.33

Keywords:

Risk management, Value at Risk, historical simulation, variance-covariance, and operational risk

Abstract

The objective of this paper is to measure operational risk in the telecommunications company using Value at Risk (VAR) model. VaR methods used in this paper are historical simulation and variance-covariance approach. The results of this paper indicated that the average value of historical simulation is smaller than variance covariance. Both methods show valid results when tested using backtesting methods. This result shows that both methods can be used to calculate the amount of risk reduction in operational revenue.Â

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Published

2017-05-30

Issue

Vol. 1 No. 2: Jurnal Ekonomi, Manajemen dan Perbankan (Journal of Economics, Management and Banking) Volume 1 Nomor 2, Agustus 2015

Section

Articles

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