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All Journal JBMP (Jurnal Bisnis, Manajemen dan Perbankan) Jurnal Ilmiah Ekonomi dan Manajemen Indonesia
Mohammad Syifaul Qulub
Universitas Islam Negeri Sunan Ampel
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Analisis Implementasi Manajemen Risiko pada PT MNC Sekuritas Berdasarkan PJOK Nomor 6/POJK.04/2021 dan Kerangka Enterprise Risk Management (ERM) Mohammad Syifaul Qulub; M Thoifur Romli Rozani
Jurnal Ilmiah Ekonomi dan Manajemen Indonesia Vol. 2 No. 1 (2026): JANUARI -JUNI
Publisher : Indo Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.63822/agsw1t02

Abstract

Penelitian ini bertujuan untuk menganalisis implementasi manajemen risiko pada PT MNC Sekuritas berdasarkan POJK Nomor 6/POJK.04/2021 serta mengevaluasi kesesuaiannya dengan kerangka COSO ERM 2017. Menggunakan pendekatan kualitatif deskriptif dengan metode studi kasus, penelitian ini mengandalkan dokumen internal perusahaan sebagai sumber data primer yang diverifikasi melalui triangulasi dengan peraturan regulasi dan teori ERM. Hasil analisis menunjukkan bahwa PT MNC Sekuritas telah mengidentifikasi dan mengklasifikasikan delapan kategori risiko sesuai mandat POJK 6/2021, mencakup risiko operasional, kredit, pasar, likuiditas, kepatuhan, hukum, reputasi, dan strategis. Namun demikian, ditemukan kesenjangan implementasi yang signifikan, terutama pada aspek kuantifikasi risiko, integrasi strategi-risiko, dan mekanisme review berkala yang belum terdokumentasi secara eksplisit.
Regime-dependent risk-return trade-off in ASEAN equity markets: Evidence from higher-order moments and threshold regression: Hubungan risiko-imbal hasil yang bergantung pada rezim di pasar saham ASEAN: Bukti dari momen orde tinggi dan regresi ambang batas Mohammad Syifaul Qulub
JBMP (Jurnal Bisnis, Manajemen dan Perbankan) Vol. 12 No. 2 (2026): September
Publisher : Universitas Muhammadiyah Sidoarjo

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21070/jbmp.v12i2.2388

Abstract

This study aims to examine the risk-return trade-off across five major ASEAN equity markets Indonesia, Malaysia, the Philippines, Thailand, and Singapore using daily market data spanning from 2006 to 2025. Utilizing an advanced quantitative approach, the research employs market-specific GARCH models with skewed Student-t innovations to calculate lagged volatility, skewness, and kurtosis, which are subsequently evaluated using linear and threshold regressions conditioned on prior-period returns. The results reveal highly localized market dynamics rather than a uniform regional trend: significant and robust skewness premiums alongside regime-dependent volatility pricing are evident only in Indonesia, with Malaysia displaying a similar but weaker pattern. Conversely, findings for the Philippines remain inconclusive, while Thailand and Singapore exhibit neither characteristic. Notably, these distinct, market-specific behaviors remained stable throughout major global economic disruptions, including the Global Financial Crisis, the COVID-19 pandemic, and the 2022–2023 monetary tightening cycles. Theoretically and practically, these findings imply that regime-dependent, higher-moment risk pricing in ASEAN equities is fundamentally specific to individual countries, successfully extending the "good-volatility" framework previously established in developed bond markets to the complex landscape of emerging equity markets.
Co-Authors M Thoifur Romli Rozani