PENERAPAN MODEL VAR DALAM PENGUKURAN RISIKO PENURUNAN OPERATIONAL REVENUE PADA INDUSTRI TELEKOMUNIKASI

Giriningtyas Dina Theresia (Pascasarjana ABFI Institute Perbanas Jakarta)
Ruli Satya Dharma (Pascasarjana ABFI Institute Perbanas Jakarta)
Batara Maju Simatupang (Program Pascasarjana Magister Manajemen STIE Indonesia Banking School)

Jurnal Ekonomi, Manajemen dan Perbankan (Journal of Economics, Management and Banking)
Vol 1, No 2: Jurnal Ekonomi, Manajemen dan Perbankan (Journal of Economics, Management and Banking)

The objective of this paper is to measure operational risk in the telecommunications company using Value at Risk (VAR) model. VaR methods used in this paper are historical simulation and variance-covariance approach. The results of this paper indicated that the average value of historical simulation is smaller than variance covariance. Both methods show valid results when tested using backtesting methods. This result shows that both methods can be used to calculate the amount of risk reduction in operational revenue.