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Media Statistika

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Published by Universitas Diponegoro

ISSN : - EISSN : 24770647 DOI : -

Core Subject : Science,

Decision Sciences, Operations Research & Management

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Articles 6 Documents

Search results for , issue "Vol 4, No 1 (2011): Media Statistika" : 6 Documents clear

CREDIT SPREADS PADA REDUCED-FORM MODEL Di Asih I Maruddani; Dedi Rosadi; Gunardi Gunardi; Abdurakhman Abdurakhman
MEDIA STATISTIKA Vol 4, No 1 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

There are two primary types of models in the literature that attempt to describe default processes for debt obligations and other defaultable financial instruments, usually referred to as structural and reduced-form (or intensity) models. Structural models use the evolution of firms’ structural variables, such as asset and debt values, to determine the time of default. Reduced form models do not consider the relation between default and firm value in an explicit manner. Reduced form models assume that the modeler has the same information set as the market - incomplete knowledge of the firm’s condition. that leads to an inaccessible default time. The key distinction between structural and reduced form models is not whether the default time is predictable or inaccessible, but whether the information set is observed by the market or not. Consequently, for pricing and hedging, reduced form models are the preferred methodology. Credit spreads are used to measure credit premium, which compensates risk-averse investors for assuming credit risk. Therefore, the credit spreads should remain positive. The higher credit risk assumed by the investors, the higher credit premium got be payed by them. In this paper, we have to to determine the credit spreads of reduced-form model. Keywords: Reduced-Form Model, Hazard Rate, Credit Spreads

PENGKONSTRUKSIAN KURVA YIELD DENGAN METODE NELSON SIEGEL SVENSSON (Studi Kasus Data Obligasi Pemerintah) Setyawati, Winda; Hoyi, Abdul
MEDIA STATISTIKA Vol 4, No 1 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Bond is one of fixed-income investment instruments because of their income granted a return for investor based on the interest rates predetermined. The level of cash that returns to the investors and factor which must be considered by investor before invest bond is called yield. The term stucture of interest rates gives the relationship between the yield on an investment and the time to maturity of the investment. The graphic depiction of the relationship between the yield on bonds in the different maturities is known as the yield curve. The yield curve contruction of the government bond with bond ID is FR (Fixed Rate) by Nelson Siegel Svensson models on the trade date 16 on February 2011. The data is obtained from Indonesian Stock Exchange (IDX). The parameter estimation is done by ordinary least square. The optimation function for its estimation is done by Nelder Mead simplex. Yield curve on day 16 depicted upward sloping. Â Keywords : Government Bond, Yield Curve, Fixed Rate, Nelson Siegel Svensson, Nelder Mead Simplex

PENGUKURAN RISIKO PADA RETENSI OPTIMAL UNTUK REASURANSI STOP LOSS DENGAN VALUE AT RISK Sunarwatiningsih, Agustina; Wilandari, Yuciana; Rusgiyono, Agus
MEDIA STATISTIKA Vol 4, No 1 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Reinsurance is an effective risk management tool for an insurer to minimize the risk of loss. Optimization criteria is based in a minimum VaR of the total risk of in insurer, to derive the optimal retention in stop loss reinsurance. The resulting optimal solution of optimization criterion has several important characteristics, such as: the optimal retention has a very simple analytic form; the optimal retention depends only on the assumed loss distribution and the reinsurerâ€™s loading factor; if optimal solution exist, then VaR based optimization criteria yield the same optimal retentions; there exist a exceeds risk tolerance level which the insurer optimally should not reinsure her risks. The approach allows usÂ to obtain different results of the optimization problem depends on the measurement of risk used. Furthermore, with optimal retention of risk measurement and minimum of VaR to the total risk, the companies be able to minimize or reduce the loss ratio of claims own retention ceding company. One way to show the existence of an optimal retention used survival function distribution exponensial. Â Key words: Stop Loss Reinsurance, Optimal Retention, Value at Risk (VaR)

ANALISIS KUALITAS PELAYANAN DAN PENGENDALIAN KUALITAS JASA BERDASARKAN PERSEPSI PENGUNJUNG Sudarno, Sudarno; Rusgiyono, Agus; Hoyi, Abdul; Listifadah, Listifadah
MEDIA STATISTIKA Vol 4, No 1 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

One of the factors which determine customer safisfaction is costumer perceive about service quality that focus to five service quality dimension that are tangible, reliability, responsiveness, assurance, and empathy. This research study service serve quality at UPT Perpustakaan Universitas Diponegoro Semarang with object to know customer perceive with respect to some variables in service quality dimension and satisfaction level. Importance-Performance Analysis used to map relation between importance with performance of respective variables to be and see gap between performance with importance of them variables. Customer Satisfaction Index (CSI) used to analyze all satisfaction respondent level. The T2 Hotelling control chart to know servicing process stability with respect to costumer perceive. Research result shows that the gap is all negative value. It means library performance that represented by 21 variables include 5 service quality dimension still under expected costumer. The value CSI is 62,903% that meaning at enough satisfaction criterion. There are five points at above upper control limit in the T2 Hotelling control chart. Therefore it can be said that process havenâ€™t been controlled by statistical. Â Keywords: Service Quality, Importance-Performance Analysis, Customer Satisfaction Index,Â Hotelling T2 Control Chart.

PEMODELAN KURVA IMBAL HASIL DAN KOMPUTASINYA DENGAN PAKET SOFTWARE RCMDRPLUGIN.ECONOMETRICS Rosadi, Dedi
MEDIA STATISTIKA Vol 4, No 1 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

In this paper discussed the yield curve modeling methodology using the Nelson-Siegel model Svenson (Svensson, 1994) with special application to model the Indonesian Government Securities Yield Curve. The focus of this study is the computation of the yield curve model using the R, especially using a tool called the R-GUI RcmdrPlugin.Econometrics (Rosadi, 2011). For the empirical illustration, also given examples of applications using real data from the Indonesian capital market. Â Keywords: Kurva yield, R-GUI, Nelson-Siegel-Svenson

IMPLEMENTASI MARKOV CHAIN MONTE CARLO PADA PENDUGAAN HYPERPARAMETER REGRESI PROSES GAUSSIAN Mukid, Moch. Abdul; Sugito, Sugito
MEDIA STATISTIKA Vol 4, No 1 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

This paper studies the implementation of Markov Chain Monte Carlo on estimating the hyperparameter of Gaussian process. Metropolish-Hasting (MH) algorithm is used to generate the random samples from the posterior distribution that can not be generated by a direct simulation method. This algorithm require only a proposal distribution for generating a candidate point. In this paper uniform distribution is choosen as the proposal distribution. Â Keywords: Markov Chain Monte Carlo, Gaussian Process, Metropolis-Hasting Algorithm

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