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All Journal Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal Jurnal Akuntansi dan Keuangan Indonesia
Sembel, Roy H. M.
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Decision Sciences, Operations Research & Management

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APLIKASI FORMULA PENILAIAN OPSI BLACK-SCHOLES UNTUK ESTIMASI NILAI CALL OPSI INDEKS SAHAM LQ-45 DI BURSA EFEK JAKARTA Baruno, Agung; Sembel, Roy H. M.
Jurnal Akuntansi dan Keuangan Indonesia Vol. 1, No. 2
Publisher : UI Scholars Hub

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Abstract

The objective of this research is to investigate the applicability of the Black-Scholes Option Pricing Model (BSOPM) on options on market index at the Jakarta Stock Exchange (JSX). A simulation is conducted using actual JSX LQ-45 index data between January 1997 and April 1999. Each month, a simulated premium of a one-month call option is calculated based on BSOPM and then compared with its payoff at its maturity date. The results show that the average profit of the simulated long stock index call option is negative but not statistically significant. It means that the BSOPM, although not rejectabie statistically, cannot be applied blindly on the valuation of JSX stock index options.
Performance Mapping Of Fintech Peer To Peer Lending (P2PL) in Indonesia Situmorang, Kaspar; Siregar, Hermanto; Zulbainarni, Nimmi; Sembel, Roy H. M.
Jurnal Aplikasi Bisnis dan Manajemen Vol. 9 No. 2 (2023): JABM Vol. 9 No. 2, Mei 2023
Publisher : School of Business, Bogor Agricultural University (SB-IPB)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17358/jabm.9.2.501

Abstract

The development of Peer-to-Peer Lending (P2PL) fintech in Indonesia was growing fast. In the midst of this rapid growth, a volatile pattern shows the dynamics of the P2PL in terms of its performance. This study aims to map the performance of fintech P2PL. The data used are the total disbursement of loans and non-performing loans obtained from each company's website and aggregate data published by the Financial Services Authority (OJK). In this study, a website scraping from 102 fintech companies was obtained from each platform to obtain Non-Performing Loan (NPL) value and accumulated loan distribution. This study also uses the hierarchical clustering method to group each P2PL based on NPL and accumulated loan disbursement. Based on the hierarchical clustering analysis, three clusters distinguish the characteristics of grouping P2PL companies. In first cluster, there are 3 companies with high distribution and low NPL, while in the second cluster consists of 13 companies categorized as poor performance because they related to the low disbursement and high NPL value. In the third cluster there are 71 companies with moderate disbursement and NPL. Based on this mapping several things need to be improved, starting from developing a risk management and monitoring system, lending and operating supervision. Keywords: Fintech, peer to peer lending, clustering, hierarchical clustering, NPL
Co-Authors Baruno, Agung Hermanto Siregar Nimmi Zulbainarni Situmorang, Kaspar