PENGUKURAN RISIKO KREDIT DAN PENGUKURAN KINERJA DARI PORTOFOLIO OBLIGASI

*Bimbi Ardhana Rizky  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Sudarno Sudarno  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Diah Safitri  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Published: 28 Feb 2018.
Open Access Copyright 2020 Jurnal Gaussian
License URL: http://creativecommons.org/licenses/by-nc-sa/4.0

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Abstract

Except getting coupon as a profit, there is loss probability in bond investment that is credit risks investment. One way to measure the credit risk of a bond is to use the credit metrics method. It uses the ratings of the bond issuer company and the transition rating issued by the rating company for its calculations. Mean Variance Efficient Portfolio (MVEP) can be used to make an optimal portfolio so that risk can be obtained to a minimum. An assessment of portfolio performance is needed  to increase confidence to invest. Sharpe index can measure portfolio performance based on return value of bond. In this case, study has been conduct in two bonds which are Obligasi Berkelanjutan I Bank BTN Tahap II Tahun 2013 and Obligasi Berkelanjutan I PLN Tahap I Tahun 2013 Seri B. The optimum portfolio formed results 67,96% proportion for the first bond and 32,04% for the second bond. For the result, and there is Rp239,4235(billion) of portfolio risk formed. And there is 0,212496for Sharpe index performance assessment portfolio.

 

Keywords: Bond, portfolio, credit risk, credit metrics, Mean Variance Efficient Portfolio, Sharpe index

Keywords: Bond, portfolio, credit risk, credit metrics, Mean Variance Efficient Portfolio, Sharpe index

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