PENGUKURAN RISIKO KREDIT DAN PEMBENTUKAN SKENARIO RATING OBLIGASI KORPORASI MENGGUNAKAN CREDIT METRICS DAN SIMULASI MONTE CARLO

Widyah Kurniasari (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Agus Rusgiyono (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Masithoh Yessi Rochayani (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)

Jurnal Gaussian
Vol 15, No 1 (2026): Jurnal Gaussian

Indonesia's economic recovery after the pandemic has positively impacted the capital market, leading investors to invest in fixed-income instruments like bonds. Bonds have their own risks, including default risk and future cash value (valuation). To measure bond risk, investors use the Credit Metrics method and Monte Carlo simulation to simulate bond rating scenarios. For this project, five bonds from companies listed in the PEFINDO25 Index are used. The credit risk of each bond is calculated based on the mean and standard deviation. HEAL bonds have the smallest mean at IDR 13.16 billion, while MYOR bonds have the largest mean at IDR1 542.87 billion. The rating scenario shows that DSNG, HEAL, MYOR, TINS, and TOBA bonds are more stable in their initial ratings, but DSNG and TOBA bonds have potential downgrade to CCC. Sixteen portfolio combinations were formed, with a mean valuation of IDR 2,446.63 billion for a portfolio of five bonds and IDR 639.23 billion for the three bond portfolios. These valuations can be used as a consideration for investors when making bond investment decisions.