BibTex Citation Data :
@article{J.Gauss3663, author = {Arief Nugroho and Di Asih Maruddani and Sugito Sugito}, title = {PENENTUAN VALUASI PORTOFOLIO OBLIGASI DENGAN CREDIT METRICS DAN MONTE CARLO SIMULATION}, journal = {Jurnal Gaussian}, volume = {2}, number = {3}, year = {2013}, keywords = {}, abstract = {The capital market is one way to get funding for the company and as a medium to strengthen corporate finance position. One of the instruments that are traded than stocks are bonds. The advantage of this instrument because it is easy and rapid acquisition of funds to beused for the operations of the corporate and the period of payment is longer. Bond investment must be noticed valuations and credit risk, with calculating the valuation can be estimate bonds credit risk. Credit Metrics is a reduced form model to estimate the risk of displacement of ratings. The risk not only occur when corporate rating be default but also if the rating upgrade or downgrade. For the determination of the portfolio valuation can be used Monte Carlo simulation using generate scenarios corporate ratings. Empirical study can be used for three bonds there are Obligasi II Bank Danamon Tahun 2010 Seri B, Obligasi II Telkom Tahun 2010 Seri A, and Obligasi Indofood Sukses Makmur V Tahun 2009. Each has an average valuation of 1.013,039 billion, 1.179,203 billion and 2.259,284 billion. The valuation of the portfolio amounted to 4.451,52 billion and a standard deviation 70,33 billion}, issn = {2339-2541}, pages = {177--186} doi = {10.14710/j.gauss.2.3.177-186}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/3663} }
Refworks Citation Data :
Article Metrics:
Last update:
The Authors submitting a manuscript do so on the understanding that if accepted for publication, copyright of the article shall be assigned to Media Statistika journal and Department of Statistics, Universitas Diponegoro as the publisher of the journal. Copyright encompasses the rights to reproduce and deliver the article in all form and media, including reprints, photographs, microfilms, and any other similar reproductions, as well as translations.
Jurnal Gaussian and Department of Statistics, Universitas Diponegoro and the Editors make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in Jurnal Gaussian journal are the sole and exclusive responsibility of their respective authors and advertisers.
The Copyright Transfer Form can be downloaded here: [Copyright Transfer Form Jurnal Gaussian]. The copyright form should be signed originally and send to the Editorial Office in the form of original mail, scanned document or fax :
Dr. Rukun Santoso (Editor-in-Chief) Editorial Office of Jurnal GaussianDepartment of Statistics, Universitas DiponegoroJl. Prof. Soedarto, Kampus Undip Tembalang, Semarang, Central Java, Indonesia 50275Telp./Fax: +62-24-7474754Email: jurnalgaussian@gmail.com
Jurnal Gaussian by Departemen Statistika Undip is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Visitor Number:
View statistics
