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  • 标题:Analisis Risiko Operasional Bank XXX dengan Metode Teori Nilai Ekstrim
  • 本地全文:下载
  • 作者:Anik Djuraidah ; Pika Silvianti ; Aris Yaman
  • 期刊名称:Statistika
  • 印刷版ISSN:1411-5891
  • 出版年度:2011
  • 卷号:11
  • 期号:2
  • 页码:115-126
  • DOI:10.29313/jstat.v11i2.1054
  • 出版社:Universitas Islam Bandung
  • 摘要:Bank in its operations are always exposed to risks that are closely related, because of its position as a financial intermediary institutions. One of the risks which arise when this is operational risk. Operational risk to be one additional factor that must be measured and taken into account in the minimum capital adequacy, in addition to credit and market risk. There are three approaches for setting capital charges for operational risk, are Basic Indicator Approach, Standardized Approach and Advanced Measurement Approach. This research used the Advanced Measurement Approach in particular the use of Extreme Value Theory (EVT) to measure the bank XXX operational risk, this is because the distribution of operational risk data have a tendency panhandle. Extreme value identification method used is the Peaks over Threshold (POT) method. The results showed that the amount of funds bank XXX must reserve to cover the possibility of operational risk in the period of 2010 amounted to Rp 737,210,874, - at 99.9% confidence level. Backtesting results demonstrate that viable models to be used as a means of measuring operational risk by 99.9% confidence level, for all types of operational risk events.
  • 关键词:advanced Measurement Approach;backtesting;operational risk;POT
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