Pengukuran Resiko Operasional Internal Process Dengan Metode Risiko Aggregation ( Studi Kasus PT.X )  

Oleh:

Karmin, Eddy

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Telaah Manajemen: Jurnal Riset & Konsep Manajemen vol. 5 no. 1 (May 2010), page 17-37.
Topik: Operational Value at Risk (VaR); LDA aggregation Method Carlo Simulation
Fulltext: 17-37.pdf (18.17MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: TT32.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada	Lihat Detail Induk
Perpustakaan PKPM Nomor Panggil: T39 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada	Lihat Detail Induk

Isi artikel

Using the application of risk measuring method on banking industry, Operational Value at Risk (VaR), is measuring risk that could arise and thus leading to a certain nominal that is used for reserve, including for managing a company. The method that used for measuring operational risk is the LDA Aggregation Method. Historical data of the operational risk on the internal process from receiving shrimp process at PT. X id based on the internal audit result of PT. X. Furthermore, with the aggregation method it will from the aggregation Loss Distribution with Aggregate Best Frequency Distribution, Poisson Distribution and best Severity Distribution, Exponential Distribution. Computation is conducted with the spreadsheet Excel with 10.000 times of Monte Carlo simulation to calculate the maximum potential loss of operational VaR based on the Kupiec Test, the model could be implemented for measuring the operational internal process risk from receiving shrimp process at PT.X. The the next step for obtaining an accurate model. PT. X should then regularly up-date the model with the data and validate the test through back testing process.

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