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All Journal Scripta Economica: Journal of Economics, Management, and Accounting Ascendia: Journal of Economic and Business Advancement Prosperia: Journal of Economic Development, Accounting, and Global Markets
Ayu Nor Aisah
Institut Teknologi Kalimantan
Economics, Econometrics & Finance

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Modeling the Gross Returns of the Big Four Banks’ Stocks in Indonesia Using a Generalized Linear Model (GLM) with the AIC, BIC, and Deviance Approaches Wahyu Dwi Lesmono; Ayu Nor Aisah
Prosperia: Journal of Economic Development, Accounting, and Global Markets Vol. 1 No. 2 (2026): : May: Prosperia: Journal of Economic Development, Accounting, and Global Marke
Publisher : CV SCRIPTA INTELEKTUAL MANDIRI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.65310/kkzbkv88

Abstract

This study examines the macrofinancial sensitivities and returns dynamics of the four systemically important banks in Indonesia using a Generalized Linear Model framework optimized via operational parameter criteria. Utilizing daily returns data, the empirical framework evaluates the transmission channels of domestic equity index movements, foreign exchange fluctuations, and central bank monetary policies while explicitly addressing non-Gaussian error distributions. The statistical estimations demonstrate that domestic capital market performance acts as the definitive anchor for banking stock returns, although public and private banking instruments exhibit divergent elasticity profiles reflecting distinct institutional mandates and funding structures. Furthermore, residual diagnostics reveal a complete rejection of error normality across all asset vectors, confirming that traditional linear estimation models produce inefficient standard errors under conditions of extreme market volatility. By accommodating alternative exponential distribution profiles and flexible non-linear link functions, the generalized framework minimizes unexplained variance and yields highly consistent parameter metrics. These findings underscore the critical utility of non-linear structural modeling in accurately identifying systematic risks, optimizing corporate banking portfolios, and strengthening macroprudential surveillance systems within emerging financial architectures.  
Analisis Investasi Saham Sektor Energi Menggunakan Metode Value at Risk (VAR) dan Conditional Value at Risk (CVAR) dengan Pendekatan Single Index Model: Studi Kasus Indeks LQ45 Tahun 2025 Ayu Nor Aisah; Eka Krisna Santoso; Nurul Maqfirah Rauf
Journal of Economic and Business Advancement Vol. 1 No. 3 (2026): March: Ascendia: Journal of Economic and Business Advancement
Publisher : CV SCRIPTA INTELEKTUAL MANDIRI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.65310/xxd11m37

Abstract

The energy sector is characterized by high volatility, making comprehensive risk analysis essential for investment decision-making. This study examines the risk and return characteristics of energy sector stocks included in the LQ45 index in 2025 by integrating the Single Index Model with Value at Risk (VaR) and Conditional Value at Risk (CVaR). Daily closing price data from February 2022 to July 2025 are employed to estimate stock returns, market sensitivity, and portfolio risk. The Single Index Model identifies three optimal stocks AKRA, MEDC, and PGAS based on their Excess Return to Beta and positive Zᵢ values, resulting in portfolio weights of 39.6%, 51.8%, and 8.5%, respectively. Monte Carlo simulation is applied to estimate portfolio risk at a 95% confidence level. The results indicate that the portfolio’s VaR reflects a manageable level of potential daily loss, while the CVaR reveals the average loss under extreme market conditions beyond the VaR threshold. Overall, the findings suggest that the optimal energy sector portfolio offers a balanced risk–return profile with controlled exposure to market and tail risks, providing valuable insights for risk-aware investors.                             
Efektivitas Penerapan Manajemen Risiko pada PT Bank Central Asia Tbk. dalam Menjaga Stabilitas dan Kinerja Keuangan Perusahaan Juanita Rahman; Ayu Nor Aisah; Nabela Ariyaninda Budi Astutik; Alvianus Kristian Sumual
Journal of Economics, Management, and Accounting Vol 1 No 2 (2025): November: Scripta Economica: Journal of Economics, Management, and Accounting
Publisher : CV SCRIPTA INTELEKTUAL MANDIRI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.65310/y1s73h40

Abstract

Penelitian ini dilatarbelakangi oleh pentingnya penerapan manajemen risiko dalam menjaga stabilitas dan kinerja keuangan PT Bank Central Asia Tbk (BCA) sebagai salah satu bank terbesar di Indonesia yang menghadapi eksposur risiko kredit, pasar, likuiditas, dan operasional di tengah perkembangan digitalisasi perbankan. Pendekatan kualitatif deskriptif-analitis digunakan untuk menelaah efektivitas strategi mitigasi risiko, kebijakan internal, serta peran tata kelola perusahaan berdasarkan analisis dokumen resmi, laporan keuangan BCA, dan temuan penelitian terdahulu. Hasil penelitian menunjukkan bahwa manajemen risiko BCA telah berjalan secara efektif, tercermin dari rasio NPL yang tetap rendah, CAR yang berada jauh di atas ketentuan minimum, LDR yang stabil, serta peningkatan efisiensi operasional melalui penurunan BOPO. Studi terdahulu dari Setyarini dan Pratiwi (2023), Sariputra (2025), Purnama (2022), Fitria (2025), Sudrajat et al. (2024), dan Parung et al. (2023) memperkuat temuan bahwa penerapan manajemen risiko yang komprehensif di BCA mampu menjaga profitabilitas, mengendalikan risiko kredit, serta memperkuat daya saing melalui inovasi digital dan penguatan tata kelola. Kesimpulan penelitian menegaskan bahwa efektivitas manajemen risiko menjadi faktor utama yang menopang stabilitas dan keberlanjutan kinerja keuangan BCA, serta berperan sebagai fondasi strategis dalam menghadapi dinamika ekonomi dan transformasi digital perbankan.
Co-Authors Alvianus Kristian Sumual Eka Krisna Santoso Juanita Rahman Lesmono, Wahyu Dwi Nabela Ariyaninda Budi Astutik Nurul Maqfirah Rauf