PENGUKURAN RISIKO KREDIT DAN VALUASI PORTOFOLIO OBLIGASI KORPORASI DENGAN MENGGUNAKAN METODE CREDIT METRICS
DOI:
https://doi.org/10.24114/jmk.v2i1.8814Abstract
ABSTRAKInvestasi merupakan bagian yang penting di dalam pasar modal. Saat melakukan kegiatan investasi khususnya obligasi, investor dihadapkan pada dua hal yaitu risiko kredit dan valuasi dari obligasi. Risiko kredit merupakan ketidakmampuan emiten melakukan kewajiban pembayaran sedangkan valuasi merupakan jumlah yang harus dibayar investor agar mencapai keuntungan dimasa mendatang. Credit metrics merupakan model untuk memprediksi risiko dan valuasi akibat dari perpindahan peringkat perusahaan. Berdasarkan studi kasus pada dua obligasi korporasi, Obligasi Berkelanjutan I Sumber Alfaria Trijaya Tahap II Tahun 2015 Seri B memiliki valuasi Rp.553.433.294.410,00 dengan risiko obligasi berdasarkan simpangan baku kredit (expected loss) Rp.102.185.494.849,00 dan berdasarkan value at risk 0,01 diperoleh risiko Rp.236.116.782.814,00. Untuk Obligasi Subordinasi Bank Victoria III memiliki valuasi Rp.240.246.585.015,00 dengan risiko obligasi berdasarkan simpangan baku kredit (expected loss) Rp.81.340.765.169,00 dan berdasarkan value at risk 0,01 diperoleh risiko Rp.98.220.000.000,00. Apabila dibentuk suatu portofolio dari kedua obligasi diperoleh risiko portofolio obligasi berdasarkan simpangan baku kredit (expected loss) sebesar Rp.197.911.554.471,00 dengan valuasi portofolio sebesar Rp.775.790.237.741,00Kata Kunci : Obligasi, Portofolio, metode credit metricsABSTRACTInvesting is a important thing in a capital market. Bond investment must be noticed the risk especially credit risk. From the information of credit risk, investor can choose the right investment. Credit Metrics is a reduced form model to estimate the risk and valuation. Credit Metrics is centered by the corporate rating. The risk not only occur when corporate rating be default but also if the rating upgrade or downgrade. For a bond portfolio, Empirical study can be used for two bonds, first bond is Obligasi Berkelanjutan I Sumber Alfaria Trijaya Tahap II Tahun 2015 Seri B and second one is Obligasi Subordinasi Bank Victoria III First bond has valuation Rp.553.433.294.410,00, Rp.102.185.494.849,00 of credit risk and the second one bonds has Rp.81.340.765.169,00. For a portfolio of that two bonds, they have Rp.775.790.237.741,00.Key Word : Obligasi, Portfolio, Credit Metrics Method
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2016-04-06
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