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Journal : Jurnal Gaussian

RISIKO KREDIT PORTOFOLIO OBLIGASI DENGAN CREDIT METRICS DAN OPTIMALISASI PORTOFOLIO DENGAN METODE MEAN VARIANCE EFFICIENT PORTFOLIO (MVEP) Nurul Fauziah; Abdul Hoyyi; Di Asih I Maruddani
Jurnal Gaussian Vol 1, No 1 (2012): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (579.223 KB) | DOI: 10.14710/j.gauss.v1i1.904

Abstract

Investing is a important thing in a capital market. Bond investment must be noticed the risk especially credit risk. From the information of credit risk, investor can choose the right investment. Credit Metrics is a reduced form model to estimate the risk. Credit Metrics is centered by the corporate rating. The risk not only occur when corporate rating be default but also if the rating upgrade or downgrade. For a bond portfolio, can calculate the optimal portfolio by Mean Variance Efficient Portfolio method. Empirical study can be used for two bonds, first bond is Obligasi Adira Dinamika Multi Finance V Tahun 2011 Seri A and second one is Obligasi BFI Finance Indonesia III Tahun 2011 Seri A. First bond has 127.01640 (Billion) of credit risk and the second one bonds has 18.33472 (Billion). For a portfolio of that two bonds, they have 179.82460 (Billion). For the optimal portfolio, first bond has propotion 66.39% and 33.61% for the second bond.
Co-Authors Abdul Hoyyi Agnes Alfitri Julika Agus Aan Adriansyah Ahmad Lutfi Akbar Trio Mashuri Amelda Amartha Andi Nurindah Sari Angela Putri Aprilia Dhea Aztika Apriska Nursa Lingga Chika Khaylah Doritha Cut Mutia Alsafiah Dandi Pangestu Danial Debi Fitri Yulianti Dendi Agustian Desi Rahayu Di Asih I Maruddani Dimas Setyawan Saputro Dina Nilam Rosalika Dominikus Delianus Zebua Dyah Wulandari Egi Widia Zafitr Eka Ananda Maharani Elisa Marsanda Elyu Cahyani Emha Dzia’ul Haq Emillia Mardayanti Enjang Fakhri Khusaini Farid Wiherdiansyah Fina Zahra Firdayanti Haekal Aqila Haikal Fahmi Harianto Hairatun Nisa Halimatuz Zahro Haryono, Wasis Helenica Injili Hendris Hendris Hizkia Yosias Polimpung Ibnu Hajar Ilmiyatur Rosidah Imron Wakhid Harits Intan Regina Fatimah Az-Zahra Irham Zaini Mubarok Irvan Iswandi Joko Supriyanto Julius Caesar Key Kalimatus Saroh Khoirunisyah Lala Marlina LATIFAH Lisnawati M Zaqqi Abdillah M.S. Ridwanulloh Mamlu'atul Khoiru Nisa Mariyana Mariyana Mas’ud Arifin Maya Panorama Melati Safitri mellisa Melti Septiani Mhnalisa Amanda Mohamad Ishak Muhammad Iqbaludin Muhammad Rendy Putra Pratama Wijaya Mustika Asabi Mutmainah Puspa Dewi Nabilah Nur Zakiyyah Nadia Fanisa Nadya Yulianty Naofal Syamil Azaky Narkum Nurkhairo Hidayati Putri Intan Rahayu Putri, Iffa Ichwani Qiara Nur Halifa Qori Hajidah Arianti Ratna Puspita Redo Firmansyah Revi Ergita Sari Ria Komaria RIYAN TERNA KUSWANTO Rosa Erlina Rudi Kurniawan Said Muhammad Al Abrar Sakha Putri Andhina Sari, Martdian Ratna Sepita Ferazona Shinta Aprillia Shinta Kurnia Dewi Sihombing, Atmy Verani Rouly Siswo Wardoyo Siti Robiah Siti Romjana Siti Sumiah Siti Wahidah Solihah Bagus Suci Rahmadhania Suci Romadhotul Arifah Suciati, Titis Nurwulan Sukarni Suriya Ningsyih Surya Hadi Dharma Suryanti Sutrisno Harisadono Syah Enggar Dupa Permana Tari Wulan Sari Tengku Ritawati Triska Adelia Anjani Usep Setiawan Vina Novita Sandra Putri Wa Ode Nurhaliza Wa Ode Sitti Nurhaliza Wahyu Addiyan Syach Wulandari Fia Rahayu Yudhistira Ardi Poetra Yunia Eka Putri Yuwan Fijar Anugrah Zulaizah Rahayu