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All Journal MATEMATIKA Prosiding PESAT JURNAL DERIVAT: JURNAL MATEMATIKA DAN PENDIDIKAN MATEMATIKA Jurnal technoscientia JURNAL TEKNOLOGI TECHNOSCIENTIA
Noviana Pratiwi, Noviana
Jurusan Akuntansi, Fakultas Ekonomi, Universitas Gunadarma
Chemical Engineering, Chemistry & Bioengineering Computer Science & IT Earth & Planetary Sciences Education Engineering Industrial & Manufacturing Engineering Materials Science & Nanotechnology Mathematics Mechanical Engineering

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ESTIMASI PENYESUAIAN LIKUIDITAS TERHADAP VALUE AT RISK DARI DATA HISTORIS Pratiwi, Noviana
JURNAL TEKNOLOGI TECHNOSCIENTIA Technoscientia Vol 8 No 1 Agustus 2015
Publisher : Lembaga Penelitian & Pengabdian Kepada Masyarakat (LPPM), IST AKPRIND Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (145.834 KB) | DOI: 10.34151/technoscientia.v8i1.195

Abstract

Risk is often associated with volatility or deviation of investment return, investor required measure of risk to managing risk. Value at Risk (VAR) is a risk measurement techniques and considered the standard method of measuring risk. In portfolio, VaR is defined as the estimated of maximum loss will be experienced by a portfolio at a spesific time period with a certain confidence level. There are three main methods to calculate the VaR i.e. variance-covariance , historical simulation and monte carlo simulation method. Capital market are not perfected liquid, but VaR model is usually asumsed to be liquid market. Whereas liquidity of market should be considered in capital market due to be optimally role in supporting economic growh, the market must be liquid. Incorporation of liquidity risk into VaR model is called Liquidity adjuated Value at Risk (LVaR). In our work, LVaR is estimated for highly liquid and less liquid portfolio.
STRATEGI MODEL PENGENDALIAN PENYEBARAN VIRUS INFLUENZA Pratiwi, Noviana; kartono, Kartono
MATEMATIKA Vol 11, No 3 (2008): JURNAL MATEMATIKA
Publisher : MATEMATIKA

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (72.474 KB)

Abstract

Influenza or more popular is called flu is a kind of disease caused by virus which infect system of respiratory. Virus of influenza spread by direct contact with a host, so it is needed a quarantine and isolate program to rein it. By quarantine and isolate, formulation of reproduction number are made, by then is to determine a strategy to rein the virus. As a verification of formula obtained, we study the avian influenza at Central Java on September 2005 – April 2008.  
PENGARUH KARAKTERISTIK PEKERJAAN DAN PENGGUNAAN TEKNOLOGI INFORMASI TERHADAP KOMITMEN ORGANISASI Pratiwi, Noviana; Mayasari, Dewi; Shalihatulhayah, Aqilah
Prosiding PESAT Vol 5 (2013)
Publisher : Prosiding PESAT

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Abstract

Komitmen organisasi adalah kunci keberhasilan perusahaan. Karakteristik pekerjaandigunakan untuk menghasilkan kepuasan kerja yang tinggi. Komitmen organisasi dapatterwujud jika perusahaan dapat menciptakan lingkungan kerja yang mendukungsehingga karyawan termotivasi untuk memberikan kinerja terbaiknya. Penelitian inibertujuan untuk menganalisis pengaruh karakteristik pekerjaan dan penggunaanteknologi informasi terhadap komitmen organisasi, studi kasus salah satu rumah sakit diJakarta Selatan. Penelitian ini menggunakan data primer. Dalam penelitian ini, variabelterikatnya adalah komitmen organisasi sedangkan variabel bebasnya adalah variasiketerampilan, identitas tugas, signifikansi tugas, otonomi, umpan balik, dan penggunaanteknologi informasi (TI). Hasil penelitian ini menunjukkan bahwa variasi keterampilan,signifikansi tugas, otonomi, dan umpan balik akan meningkatkan komitmen perawatterhadap rumah sakit tempatnya bekerja sedangkan identitas tugas dan penggunaan TIberhubungan negatif dengan komitmen organisasi, artinya peningkatan identitas tugasdan penggunaan TI akan menurunkan komitmen perawat terhadap rumah sakittempatnya bekerja.
Analisis Nilai Risiko Portofolio Optimum Pada Reksadana Campuran Dengan Pendekatan EWMA Pratiwi, Noviana
Jurnal Derivat: Jurnal Matematika dan Pendidikan Matematika Vol 4, No 1 (2017): Jurnal Derivat (Juli 2017)
Publisher : Pendidikan Matematika Universitas PGRI Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (882.841 KB) | DOI: 10.31316/j.derivat.v4i1.159

Abstract

Value at Risk (VaR) is one of the risk measurement techniques and is considered a standard method of measuring risk. EWMA is one method to find standard deviation value of Conditional Variance which used to calculate the VaR. Investors use VaR to determine the risk level. VaR defined as the estimated loss of portfolio with a certain level of confidence. A portfolio composed of several mixed mutual funds. Of the four mutual funds only two mutual funds that can be arranged to get an optimum portfolio, 20% of mutual funds Kresna Flexima and 80% Nikko BUMN Plus. Portfolio VaR is calculated by EWMA method because it found the existence of conditional Variance. With a 95% level of trust and decay factor in accordance with the proposed risk metrics of 0.94 for daily data than obtained the VaR value of 0.26221011. This means that the maximum losses that may be received by investors amounted to 26.22% if investors invest in assets recommended by the optimal portfolio. This level of risk will be used by investors to control investment risk. Keyword: VaR, EWMA, Portofolio Optimum, Reksadana
ESTIMASI PENYESUAIAN LIKUIDITAS TERHADAP VALUE AT RISK DARI DATA HISTORIS Pratiwi, Noviana
JURNAL TEKNOLOGI TECHNOSCIENTIA Technoscientia Vol 8 No 1 Agustus 2015
Publisher : Lembaga Penelitian & Pengabdian Kepada Masyarakat (LPPM), IST AKPRIND Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34151/technoscientia.v8i1.195

Abstract

Risk is often associated with volatility or deviation of investment return, investor required measure of risk to managing risk. Value at Risk (VAR) is a risk measurement techniques and considered the standard method of measuring risk. In portfolio, VaR is defined as the estimated of maximum loss will be experienced by a portfolio at a spesific time period with a certain confidence level. There are three main methods to calculate the VaR i.e. variance-covariance , historical simulation and monte carlo simulation method. Capital market are not perfected liquid, but VaR model is usually asumsed to be liquid market. Whereas liquidity of market should be considered in capital market due to be optimally role in supporting economic growh, the market must be liquid. Incorporation of liquidity risk into VaR model is called Liquidity adjuated Value at Risk (LVaR). In our work, LVaR is estimated for highly liquid and less liquid portfolio.
Co-Authors -, Noeryanti Aqilah Shalihatulhayah, Aqilah Catur Iswahyudi Dewi Mayasari M.Pd S.T. S.Pd. I Gde Wawan Sudatha .