PERBANDINGAN MODEL INTERNAL (VAR HISTORIS) DENGAN MODEL STANDAR DALAM MENGUKUR RISIKO VALUTA ASING DI PT. BCAI

• Main Author: Simatupang, Lando
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/3083
• Institution: Institut Teknologi Bandung

<b>Abstract: </b><br> Banking industry become more complex and have made the bank more fragile and vulnerable since the global financial system is integrated. Due to these condition, bank should develop an appropriate systems and procedures to identify, measure and manage risk to generate optimal return. However, ignoring this development could erode the bank capital with big loss.<p>Foreign exchange transaction of PT. BCAI for four months created burdensome for capital since the bank measure and manage its risk traditionally. Risk measurement developed by Bank for International Settlement, i.e Standard Model and Internal Model with statistical approach, Value At Risk (VAR) historical method generate a better measurement. The latter tends to generate capital provision lesser than standar method, especially if the bank build currency portfolio.</p>In order to obtain capital provision of foreign exchange transaction appropriately, I suggest PT. BCAI to develop an internal model which is fit to PT. BCAI condition. The bank could develop the VAR historical since the bank products and services are not too complicated.