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All Journal Jurnal Matematika Buletin Udayana Mengabdi E-Jurnal Matematika Prosiding Seminar Nasional MIPA BIOTROPIA - The Southeast Asian Journal of Tropical Biology Jurnal Matematika Sains dan Teknologi BAREKENG: Jurnal Ilmu Matematika dan Terapan JTAM (Jurnal Teori dan Aplikasi Matematika) International Journal of Applied Mathematics and Computing.
Komang Dharmawan
Prodi Matematika FMIPA Universitas Udayana
Agriculture, Biological Sciences & Forestry Biochemistry, Genetics & Molecular Biology Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Education Energy Engineering Immunology & microbiology Mathematics Mechanical Engineering Physics Transportation Veterinary Other

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PENENTUAN NILAI PREMI ASURANSI PERTANIAN BERBASIS INDEKS SUHU PERMUKAAN MENGGUNAKAN METODE BURN ANALYSIS A.A DWI MARSITA ANGGRAENI; KOMANG DHARMAWAN; DESAK PUTU EKA NILAKUSMAWATI
E-Jurnal Matematika Vol 7 No 4 (2018)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2018.v07.i04.p221

Abstract

Temperature is an important factor in the production of agricultural commodities. For this reason, goverments needs to protect farmers in order to continue their farming. Climate-based agricultural insurance is an alternative to climate-related risk management. Insurance premium is given when the temperature index lower than the pre determined trigger index. The purpose of this study is to determine the stages and assumptions in determining the value of agricultural insurance premiums based on surface temperature index on cocoa commodities using the method of burn analysis. The temperature index was determined using the burn analysis method with the temperature as the climate parameter. Trigger values ??are determined based on long run times. In this paper, the result is that when the temperature index lower than the determined trigger value, trigger payments as much as Rp.10.931.960,40 / Ha based on trigger index as many 26.145 ° C, so amount of premium payment equals Rp 215.776.
PENENTUAN HARGA KONTRAK OPSI TIPE ASIA MENGGUNAKAN MODEL SIMULASI NORMAL INVERSE GAUSSIAN (NIG) I PUTU OKA PARAMARTHA; KOMANG DHARMAWAN; DESAK PUTU EKA NILAKUSMAWATI
E-Jurnal Matematika Vol 3 No 3 (2014)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2014.v03.i03.p074

Abstract

The aim to determine of the simulation results and to calculate the stock price of Asian Option with Normal Inverse Gaussian (NIG) method and Monte Carlo method using MATLAB program. Results of both models are compared and selected a fair price. Besides to determine simulation accuracy of the stock price, speed of program execution MATLAB is calculated for both models for time efficiency. The first part, set variabels used to calculate the trajectory of stock prices at time t to simulate the stock price at the time. The second part, simulate the stock price with NIG model. The third part, simulate the stock price with Monte Carlo model. After simulating the stock price, calculated the value of the pay-off of the Asian Option, and then estimate the price of Asian Option by averaging the entire value of pay-off from each iteration. The last part, compare result of both models. The results of this research is price of Asian Option calculated using Monte Carlo simulation and NIG. The rates were calculated using the NIG produce a fair price, because of the pricing contract NIG using four parameters ?, ?, ?, and ?, while Monte Carlo is using only two parameters ? and ?. For execution time of the program, the Monte Carlo model is better in all iterations.
ESTIMASI NILAI CONDITIONAL VALUE AT RISK MENGGUNAKAN FUNGSI GAUSSIAN COPULA HERLINA HIDAYATI; KOMANG DHARMAWAN; I WAYAN SUMARJAYA
E-Jurnal Matematika Vol 4 No 4 (2015)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2015.v04.i04.p110

Abstract

Copula is already widely used in financial assets, especially in risk management. It is due to the ability of copula, to capture the nonlinear dependence structure on multivariate assets. In addition, using copula function doesn’t require the assumption of normal distribution. There fore it is suitable to be applied to financial data. To manage a risk the necessary measurement tools can help mitigate the risks. One measure that can be used to measure risk is Value at Risk (VaR). Although VaR is very popular, it has several weaknesses. To overcome the weakness in VaR, an alternative risk measure called CVaR can be used. The porpose of this study is to estimate CVaR using Gaussian copula. The data we used are the closing price of Facebook and Twitter stocks. The results from the calculation using 90%  confidence level showed that the risk that may be experienced is at 4,7%, for 95% confidence level it is at 6,1%, and for 99% confidence level it is at 10,6%.
MENENTUKAN PORTOFOLIO OPTIMAL PADA PASAR SAHAM YANG BERGERAK DENGAN MODEL GERAK BROWN GEOMETRI MULTIDIMENSI RISKA YUNITA; KOMANG DHARMAWAN; LUH PUTU IDA HARINI
E-Jurnal Matematika Vol 4 No 3 (2015)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2015.v04.i03.p100

Abstract

Model of stock price movements that follow stochastic process can be formulated in Stochastic Diferential Equation (SDE). The exact solution of SDE model is called Geometric Brownian Motion (GBM) model. Determination the optimal portfolio of three asset that follows Multidimensional GBM model is to be carried out in this research.Multidimensional GBM model represents stock price in the future is affected by three parameter, there are expectation of stock return, risk stock, and correlation between stock return. Therefore, theory of portfolio Markowitz is used on formation of optimal portfolio. Portfolio Markowitz formulates three of same parameter that is calculated on Multidimensional GBM model. The result of this research are optimal portfolio reaches with the proportion of fund are 39,38% for stock BBCA, 59,82% for stock ICBP, and 0,80% for stock INTP. This proportion of fund represents value of parameters that is calculated on modelling stock price.
MEMBANDINGKAN RISIKO SISTEMATIS MENGGUNAKAN CAPM-GARCH DAN CAPM-EGARCH VIKY AMELIAH; KOMANG DHARMAWAN; I NYOMAN WIDANA
E-Jurnal Matematika Vol 6 No 4 (2017)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2017.v06.i04.p172

Abstract

In making stock investments, investors usually pay attention to the rate of return and risk of the stock investment. To calculate risk using capital asset pricing model (CAPM), GARCH, and EGARCH. The data used in this study is secondary data in the form of daily closing price (daily close price), JII price index and monthly SBI rate. All data were processed using matlab 13. The research sample consisted of 6 flagship shares for the period of 2013-2017 ie ADHI, SMGR, UNTR, BSDE, ICBP, KLBF. The conclusion of the research is the beta of each stock including aggressive beta because beta greater than 1. For return CAPM GARACH and CAPM EGARCH obtained Kalbe Farma stock (KLBF) has small beta and big return means GARCH and EGARCH model equally Can predict that stock KLBF shares the least risk and large returns among the six stocks.
MODEL PERSAMAAN STRUKTURAL UNTUK MENGKAJI PENGARUH MODAL SOSIAL MELALUI DIMENSI ORIENTASI KEWIRAUSAHAAN TERHADAP KESEJAHTERAAN MASYARAKAT DI KABUPATEN JEMBRANA, BALI G. K Gandhiadi; Komang Dharmawan2; Kartika Sari
Prosiding Seminar Nasional MIPA 2015: PROSIDING SEMINAR NASIONAL MIPA UNDIKSHA 2015
Publisher : Prosiding Seminar Nasional MIPA

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

Penelitian tentang modal sosial yang melibatkan variabel laten telah berkembang pesat, namun tetap memunculkan pertanyaan tentang peran modal sosial di masyarakat khususnya dalam hubungannya dengan kesejahteraan. Variabel laten tersebut dapat diukur melalui indikator-indikator yang menjelaskannya, dapat dianalisis dengan menggunakan Structural Equation Modeling (SEM) atau Pemodelan Persamaan Struktural. Premis dasar obyek penelitian ini adalah modal sosial dipandang sebagai faktor produktif yang memberikan manfaat bagi setiap individu dan mampu menjalin hubungan dengan individu lainnya. Penekanan di bidang ilmu matematika terhadap obyek penelitian ini adalah mengkaji model atau hubungan antara peran modal sosial melalui orientasi kewirausahaan bagi kesejahteraan masyarakat (pelaku UMKM) di Kabupaten Jembrana. Sampel yang diambil sebanyak 80 pelaku UMKM, menggunakan purposive random sampling (disengaja) dengan mempertimbangkan indikator modal sosial dan pembangunan ekonomi di wilayah Kabupaten Jembrana. Pengolahan dan analisis data dilakukan dengan bantuan software Smart PLS. Hasil penelitian mendapatkan bahwa model persamaan struktural untuk variabel modal sosial dengan komponen formatif trust, norms, dan network adalah,Modal Sosial = 0.456* trust +0.484* norms + 0.322*network + dengan R2 = 0.999.Sedangkan model persamaan struktural untuk variabel kesejahteraan dengan komponen variabel (variable antara) yaitu keinovasian (Inov), keproaktifan (Proaktif), dan pengambilan keputusan/resiko (Resiko), dengan premis modal sosial adalah,Kesejahteraan = -0.391*Inov + 0.135*Proaktif + 0.210*Resiko + dengan R2 = 0.118.Secara umum diperoleh bahwa modal sosial melalui semua dimensi orientasi kewiraushaan secara total tidak berpengaruh signifikan terhadap kesejahteraan pelaku UMKM (masyarakat) di Kabupaten Jembrana. Akan tetapi secara langsung modal sosial berpengaruh signifikan terhadap semua dimensi orientasi kewirausahaan, sehingga dapat disarankan kepada instansi terkait di Kabupaten Jembrana agar mengoptimalkan peran modal sosial dalam merancang strategi pembangunan ekonomi bagi pelaku UMKM yang memberikan nilai tambah outcome untuk meningkatkan kesejahteraan masyarakat.Kata kunci: Structural Equation Modeling (SEM,) modal sosial, orientasi kewirausahaan, kesejahteraan
ESTIMASI RISIKO PASAR DENGAN LVaR DAN EXPECTED SHORTFALL MENGGUNAKAN SIMULASI MONTE CARLO I PUTU YUDHI PRATAMA; KOMANG DHARMAWAN; KARTIKA SARI
E-Jurnal Matematika Vol 11 No 2 (2022)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2022.v11.i02.p365

Abstract

Value at Risk (VaR) is a statistical technique used to manage and calculate the level of financial risk within a certain period of time and a certain level of confidence. VaR can be adjusted to liquidity risk which is called Liquidity adjusted Value at Risk (LVaR). Another alternative calculation is the Expected Shortfall (ES) which is a loss beyond the confidence limit that can occur due to liquidity. This study aims to estimate market risk with LVaR and ES on a stock portfolio incorporated in the LQ45 index using a Monte Carlo simulation. Furthermore, back-testing is carried out using the Kupiec test. The data used in this study are two stocks that are included in the LQ45 index which have the largest sales volume in a period of three years, namely ANTM and BBRI shares. As a result, it was found that the stock portfolio of ANTM and BBRI in the initial fund of Rp. 10,000,000.00 with a 95% confidence level, obtained ES of Rp.496.470,00 per day and an LVaR value of Rp 499.174,00 per day. The ES model obtained is less accurate while the LVaR model is accurate.
ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN METODE LEXICOGRAPHIC GOAL PROGRAMMING DENGAN PENDEKATAN VaR – GEV YOHANA Th.V. SERAN; KOMANG DHARMAWAN; NI KETUT TARI TASTRAWATI
E-Jurnal Matematika Vol 11 No 2 (2022)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2022.v11.i02.p370

Abstract

The stock portfolio is a combination of several stocks that can help reduce investment risk. Risk can be measured using Value at Risk. This study aims to form an optimal portfolio in which stock risk is estimated using VaR with Generalized Extreme Value distribution followed by selecting the optimal portfolio forming stock using the Lexicographic Goal Programming method. The result of this research is that a portfolio with three selected stocks is formed, namely BBRI with a proportion of 63%, KLBF with a proportion of 25% and MNCN with a proportion of 12%. From the optimal portfolio formed, the expected return is 0.00005106 and the risk is 0.0187.
PERHITUNGAN RISIKO KREDIT KPR PADA BANK XYZ MENGGUNAKAN METODE CREDITRISK+ SORAYA SARAH AFIFAH; KOMANG DHARMAWAN; I GUSTI AYU MADE SRINADI
E-Jurnal Matematika Vol 11 No 2 (2022)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2022.v11.i02.p366

Abstract

Credit risk is a risk that is often encountered by banks in lending, especially mortgages. Banks can get losses if the risk is not anticipated properly. The purpose of this study is to estimate the number of losses (expected loss and unexpected loss) obtained by Bank XYZ due to default debtors and to estimate the amount of economic capital that must be provided by Bank XYZ in anticipating unexpected losses. The study was conducted using the CreditRisk+ method with a Poisson distribution approach. The ratio between expected loss and unexpected loss obtained from the calculation results is 57%. With the value of economic capital that needs to be provided by Bank XYZ is Rp. 647.594.176.768,-. This means that Bank XYZ needs to monitor the outstanding credit of their debtors who experience default in the credit portfolio in order to avoid possible losses and provide economic capital to cover these losses. So that the estimated value of economic capital can be used as a capital benchmark to anticipate maximum losses and as an indicator for Bank XYZ to earn income from credit activities.
ESTIMASI VALUE AT RISK PORTOFOLIO MENGGUNAKAN METODE QUASI MONTE CARLO DENGAN PEMBANGKIT BILANGAN ACAK HALTON PUTU SAVITRI DEVI; KOMANG DHARMAWAN; LUH PUTU IDA HARINI
E-Jurnal Matematika Vol 11 No 2 (2022)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2022.v11.i02.p371

Abstract

Estimating the value at risk (VaR) is an important aspect of investment. VaR is a standard method of measuring risk defined as the maximum loss over a certain period of time at a certain level of confidence. The purpose of this study is to estimate the risk of a portfolio represented as a VaR where the volatilities were simulated by th the Monte Carlo and Quasi Monte Carlo methods. The Monte Carlo method involves generating random numbers and the Quasi Monte Carlo method uses Halton's quasi-random sequences. This study uses secondary data, namely daily stock price closing data. Based on the calculation, the VaR of the Quasi Monte Carlo Portfolio produces a maximum loss greater than that of the Monte Carlo Portfolio. This is due to randomization performed with different random number generators for each method and the number of simulations performed. It can be concluded that the Quasi Monte Carlo method is a better method than the Monte Carlo method in estimating the risk of portfolio losses in stocks in the telecommunications sector.
Co-Authors A.A DWI MARSITA ANGGRAENI AA Sudharmawan, AA ADE AYU NITA DEVI AULIA ATIKA PRAWIBTA SUHARTO Batho, Yanuarius Felix DERY MAULANA DESAK PUTU DEVI DAMIYANTI Desak Putu Eka Nilakusmawati DEVI NANDITA. N DEWA AYU AGUNG PUTRI RATNASARI ELVINA LIADI FEBBY VERENNIKA Fransisca Emmanuella Aryossi G. K Gandhiadi G. K. GANDHIADI Gandhiadi, G K GEDE SUMENDRA HAMITA HAKMI HERLINA HIDAYATI I G. A. Widagda I GEDE ARYA DUTA PRATAMA I GEDE ERY NISCAHYANA I GEDE RENDIAWAN ADI BRATHA I Gusti Ayu Made Srinadi I GUSTI AYU MITA ERMIA SARI I GUSTI MADE AYU ANGGUN TIARA PRATINI I GUSTI PUTU NGURAH MAHAYOGA I KOMANG GDE SUKARSA I KOMANG TRY BAYU MAHENDRA I NYOMAN BRYAN ANDIKA I Nyoman Widana I Putu Eka Nila Kencana I PUTU OKA PARAMARTHA I PUTU YUDHI PRATAMA I Wayan Sumarjaya I WAYAN WIDHI DIRGANTARA ICHA WINDA DIAN SAFIRA IDA AYU EGA RAHAYUNI IDA AYU GDE KHASMANA PUTRI IDA AYU PUTU CANDRA DEWI IDA BAGUS ANGGA DARMAYUDA Ida Bagus Gede Darmayasa IKHSAN AKBAR Inabuy, Fainmarinat selviani INTAN AWYA WAHARIKA INTAN LESTARI IRENE MAYLINDA PANGARIBUAN KADEK FRISCA AYU DEVI KADEK INTAN SARI KADEK MIRA PITRIYANTI Kartika Sari Ketut Jayanegara LUH HENA TERECIA WISMAWAN PUTRI LUH PUTU IDA HARINI Luh Putu Ratna Sundari LUSIA EMITRIANA MAGOL MADE ASIH MAKBUL MUFLIHUNALLAH MERARY SIANIPAR MIRANDA NOVI MARA DEWI N. N. Rupiasi NABILA NUR JANNAH NI KADEK NITA SILVANA SUYASA NI KADEK PUSPITAYANTI Ni Ketut Tari Tastrawati NI LUH NIKASARI NI LUH PUTU KARTIKA WATI Ni Luh Putu Suciptawati Ni Made Asih NI MADE NITA ASTUTI NI NYOMAN AYU ARTANADI Ni Nyoman Rupiasih NI PUTU AYUNDA SURYA DEWI Ni Putu Leony Putri Paramita NI PUTU WIDYA ISWARI DEWI NI WAYAN UCHI YUSHI ARI SUDINA PUTU AMANDA SETIAWANI PUTU AYU DENI Putu Eka Sudaryatma PUTU IKA OKTIYARI LAKSMI PUTU MIRAH PURNAMA D. PUTU SAVITRI DEVI PUTU WIDYA ASTUTI Ratna Sari Widiastuti RISKA YUNITA SAYID QOSIM SORAYA SARAH AFIFAH Surma, Odilia Gratiaplena Susanti Marito Barus Swastika, Putu Veri Teriyani, Ni Made Tjokorda Bagus Oka VIAN RISKA AYUNING TYAS VIKY AMELIAH WAYAN ARTHINI Wijayakusuma, I Gusti Ngurah Lanang WIRYA SEDANA Yan Ramona YOHANA Th.V. SERAN YOSEVA AGUNG PRIHANDINI