Measurement of Internal Model of Value At Risk In Indonesian Bank Industry Under Basel III: SCBTII Proceeding Book The 7th Smart Collaboration for Business in Tehcnology and Information Industries, August 15th-16th 2016
Nora AmeldaRizal, Noval Saputra, Ashri Putri Rahadi

Informasi Umum

Kode

17.24.069

Klasifikasi

657.072 - Accounting research

Jenis

E-Article

Subjek

Accounting

No. Rak

Dilihat

125 kali

Informasi Lainnya

Abstraksi

It is well known that in investment the existence of the relationship between risk and return is very strong. Bank as a financial institution that serves to collect funds from the public in the form of demand deposits, time deposits, and other deposits and channeled back in the form of credit, also has to consider the risks very well, especially the credit risks. The global financial crisis in 2008 brought a significant influence on credit risk and also credit valuation adjustment (CVA) risk framework. Since then The Basel II was improved by The Basel III which was first published in December 2009. Introducing new adjustment for capital adequate ratio (CAR) and model of capital cost risk against the volatility model for CVA, as for the improvement of The Basel II risk framework. The purpose of this study was to measure how well the risk model that has been used by the government bank in Indonesia compare to the new CVA Internal Model based on The Basel III. In this study VaR as the measurement tool for risk framework can be applied into the new regulation of The Basel III. This study is using the purposive sampling technique, and using the data of the banks that go public on the Indonesian Stock Exchange in 2013-2015. To make the calculation of risk volatility more precisely, ARMA and GARCH model will be applied into the Internal Model based on The Basel III.

Keywords: Bank;Risk; BASEL III; VaR; Internal Model.

• ACH1C4 - AKUNTANSI BIAYA
• DMH1G3 - AKUNTANSI
• IEH3O3 - AKUNTANSI BIAYA
• DAH1E3 - AKUNTANSI BIAYA
• DHH2I2 - AKUNTANSI HOTEL
• ACH1B4 - AKUNTANSI KEUANGAN I
• ACH2A3 - AKUNTANSI KEUANGAN II
• ACH2D4 - AKUNTANSI KEUANGAN LANJUTAN I
• ACH3A4 - AKUNTANSI KEUANGAN LANJUTAN II
• DAH2E3 - AKUNTANSI KEUANGAN MENENGAH
• ACH2B3 - AKUNTANSI MANAJEMEN
• DAH2H3 - AKUNTANSI MANAJEMEN
• BM63O4 - AKUNTANSI MANAJEMEN
• DAH2I3 - AKUNTANSI ORGANISASI NON PROFIT
• ACH3B3 - AKUNTANSI SEKTOR PUBLIK
• MMDA33 - FINON AKUNTANSI
• MMDB23 - FINON AKUNTANSI DAN AKUNTANSI DIGITAL
• EBH0E4 - PENGANTAR AKUNTANSI
• BAH1F4 - PRINSIP - PRINSIP AKUNTANSI
• DAH1A4 - PRINSIP AKUNTANSI I
• DAH1D4 - PRINSIP AKUNTANSI II
• ISH3F3 - SISTEM AKUNTANSI DAN MANAJEMEN KEUANGAN
• ACH2F4 - SISTEM INFORMASI AKUNTANSI
• DAH3D4 - SISTEM INFORMASI AKUNTANSI PERUSAHAAN
• ACH3J3 - TEORI AKUNTANSI
• EBI1G4 - PENGANTAR AKUNTANSI
• VPI1D3 - AKUNTANSI
• EAI2S3 - AKUNTANSI MANAJEMEN
• EAI4243 - TEORI AKUNTANSI
• VAI1C4 - PRINSIP AKUNTANSI I
• VAI1H4 - PRINSIP AKUNTANSI II
• VAI2E4 - AKUNTANSI KEUANGAN MENENGAH
• VAI2F3 - AKUNTANSI BIAYA
• VAI2K3 - AKUNTANSI MANAJEMEN
• VAI3B4 - SISTEM INFORMASI AKUNTANSI PERUSAHAAN
• IEI3G3 - AKUNTANSI BIAYA
• ISI2L3 - SISTEM AKUNTANSI DAN MANAJEMEN KEUANGAN
• KBI1F3 - AKUNTANSI KEUANGAN DASAR
• DEK2AAB3 - KEUANGAN
• DDK1HAB3 - Akuntansi Biaya
• DDK1AAB3 - Pengantar Akuntansi
• DDK2AAB3 - Manajemen Keuangan
• DBK1FAB3 - AKUNTANSI BIAYA
• DBK2HAB3 - AKUNTANSI KEUANGAN LANJUTAN
• DBK2FAB3 - AKUNTANSI MANAJEMEN
• DBK1AAB4 - PENGANTAR AKUNTANSI
• DBK2KAB3 - TEORI AKUNTANSI

Koleksi & Sirkulasi

Tersedia 1 dari total 1 Koleksi

Pengarang

Nama	Nora AmeldaRizal, Noval Saputra, Ashri Putri Rahadi
Jenis	Perorangan
Penyunting
Penerjemah

Penerbit

Nama	Fakultas Ekonomi Bisnis - Telkom University
Kota	Bandung
Tahun	2016

Sirkulasi

Harga sewa	IDR 0,00
Denda harian	IDR 0,00
Jenis	Non-Sirkulasi

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