Deposit Mudarabah Investment Risk Analysis Method Value at Risk (VaR)
Abstract
The VaR analysis results show that the average risk of mudharabah deposit investment for 3 years in Bank Syariah Mandiri is 2015 at 6.61% and net return -0.53%, in 2016 the risk is 0.14% and net return 3.21 %, in 2017 the risk is 0.17% and net return is 0.32%. BRI Syariah Bank is 2015 at 0.08% and net return of 4.28%, in 2016 the risk is 0.07% and net return 3.77%, in 2017 the risk is 0.08% and net return 42.81% . and Bank Muamalat is 2015 at 0.63% and net return of 0.04%, in 2016 the risk is 0.40% and net return is 0.08%, in 2017 the risk is 0.14% and net return is 0.26%. In addition there are differences in the level of risk and return (net return) in Bank Syariah Mandiri, BRI Syariah, and Muamalat Bank with significant probability (p-value) for the risk level of 0.005 and return (net return) of 0.045. From the risk level and net return for three years, BRI Syariah Bank is a bank that has prospective value.
Key Words : VaR, risk, net return, mudharabah deposit
Full Text:
PDFReferences
Adrianto, A. D., Azhari, M., Khairunnisa, S. E., & Carlo, M. (2017). Analisis Value At Risk Dengan Metode Historis , Dan Monte Carlo Dalam Saham Sub Sektor Rokok ( Studi Kasus Pada Saham Gudang Garam Dan Hm Sampoerna ). Analysis Of Value At Risk With Historical Methods , And Monte Carlo In The Stock Sub Sectors Of Cigarett. E-Proceeding of Management, 4(2), 1437–1444. https://libraryeproceeding.telkomuniversity.ac.id/index.php/management/article/view/766
Al Anshori, A. G. (2009). Trend Pembentukan Bank Umum Syari’ah Pasca Undang-Undang Nomor 21 Tahun 2008 :Konsep, Regulasi, dan Implementasi. BPFE-Yogyakarta.
Bank Muamalat. Muamalat Bank Quarterly Report 2015-2017. https://www.bankmuamalat.co.id/hubungan-investor/laporan-tahunan
Dewan Komisioner Otoritas Jasa Keuangan. (2016). Peraturan Otoritas Jasa Keuangan Nomor 18 /POJK.03/2016 Tentang Penerapan Manajemen Risiko Bagi Bank Umum. https://www.ojk.go.id/id/kanal/perbankan/regulasi/peraturan-ojk/Pages/POJK-Nomor-18.POJK.03.2016.aspx
Dewan Syariah Nasional. (n.d.). Fatwa DSN No. 03/DSN-MUI/IV/2000 Tentang Deposito. http://hukum.unsrat.ac.id/inst/deposito.pdf
Fahmi, I. (2011). Analisis Laporan Keuangan. Alfabeta.
Ghozali, I. (2007). Manajemen Risiko Perbankan: Pendekatan Kuantitatif Value at Risk (VaR). Badan Penerbit Universitas Diponegoro.
Hermansyah. (2017). Estimasi Value At Risk Dengan Distribusi Normal Untuk Memprediksi Return Investasi. Mercumatika, Jurnal Penelitian Matematika Dan Pendidikan Matematika, 1(2), 92–96. https://doi.org/10.26486/mercumatika.v1i2.250
Hidayati, L. N. (n.d.). Mengukur Risiko Perbankan Dengan VaR ( Value at Risk ). https://adoc.tips/queue/mengukur-risiko-perbankan-dengan-var-value-at-risk-oleh-lina.html
Ismail. (2014). Perbankan Syariah. (1st ed.). Kencana Prenadamedia Grup.
Ismanto, H. (2016). Analisis Value At Risk Dalam Pembentukan Portofolio Optimal (Studi Empiris Pada Saham-Saham Yang Tergabung Dalam LQ45). The 3 Rd University Research Colloquium, 243–255. https://publikasiilmiah.ums.ac.id/bitstream/handle/11617/6737/23. Hadi Ismanto.pdf?sequence=1&isAllowed=y
Jogiyanto. (n.d.). Partial Least Square (PLS) Alternatif Structural Equation Modeling (SEM) dalam Penelitian Bisnis (1st ed.). ANDI.
Bank Syariah Mandiri. Syariah Mandiri Bank Quarterly Report 2015-2017. https://www.mandirisyariah.co.id/tentang-kami/company-report/annual-report
Mustofa, U. A., & Prastiwi, I. E. (2016). Analisis Risiko Investasi Deposito Mudharabah (Studi pada Bank Syariah Mandiri Tahun 2013-2015). Jurnal Ilmiah Ekonomi Islam, 2(02).
Prabowo, Y. (2009). Analisis Resiko dan Pengembalian Hasil pada Perbankan Syariah : Aplikasi Metode VaR dan RAROC pada Bank Syariah Mandiri. La Riba: Jurnal Ekonomi Isam, III(1), 90–105. https://docplayer.info/40842062-Analisis-resiko-dan-pengembalian-hasil-pada-perbankan-syariah-aplikasi-metode-var-dan-raroc-pada-bank-syariah-mandiri.html
Bank BRI Syariah. BRI Syariah Bank Quarterly Report 2015-2017. https://www.brisyariah.co.id/tentang_hubInvestor.php?f=annual&idp=b9d86b221c7aec7aa3273308522e743f
Zuhara, U., Akbar, M. S., & Return, A. P. (2012). Penggunaan Metode VaR ( Value at Risk ) dalam Analisis Risiko Investasi Saham dengan Pendekatan Generalized Pareto Distribution ( GPD ). Jurnal Sains Dan Seni ITS, 1(1), 56–61. https://doi.org/10.12962/j23373520.v1i1.959
Refbacks
- There are currently no refbacks.