MODULE HANDBOOK RISK

MODULE HANDBOOK RISKANALYSIS

DEPARTMENT OF STATISTICSINSTITUT TEKNOLOGI SEPULUH NOPEMBER

ProsesProcess

Penanggung Jawab

Person in Charge TanggalDate

Nama

Name

Jabatan

Position

Tanda tangan

Signature

Perumus

Preparation

Dr.rer pol. DedyDwi Prastyo,S.Si, M.Si

Dosen

Lecturer

March

28, 2019

Pemeriksa danPengendalianReviewandControl

Dr.rer pol. DedyDwi Prastyo,S.Si, M.SiImam SafawiAhmad

TimkurikulumCurriculumteam

April 15,

2019

Persetujuan

Approval

Dr. Ir. Setiawan,M.S

KoordinatorRMKCourse ClusterCoordinator

July 17,

2019

Penetapan

Determination

Dr. Dra.KartikaFithriasari,M.Si

KepalaDepartemenHead ofDepartment

July 30,

2019

Module name Risk Analysis

Module level Undergraduate

Code KS184650

Course (if

applicable)

Risk Analysis

Semester Sixth Semester (Genap)

Personresponsible forthe module

Dr.rer pol. Dedy Dwi Prastyo, S.Si

Lecturer Dr.rer pol. Dedy Dwi Prastyo, S.Si, M.SiImam Safawi Ahmad

Language Bahasa Indonesia

Relation to

curriculum

Undergraduate degree program, elective, 6th semester.

Type of teaching,contact hours

Lectures, <50 students

Workload 1. Lectures : 3 x 50 = 150 minutes per week.2. Exercises and Assignments : 3 x 60 = 180 minutes (3hours) per

week.3. Private learning : 3 x 60 = 180 minutes (3 hours) per week.

Credit points 3 credit points (sks)

Requirementsaccording to the

examination

regulations

A student must have attended at least 80% of the lectures tosit in the exams.

Mandatoryprerequisites

• Probability Theory• Introduction to Economy Theory

Learningoutcomes andtheircorresponding toPLOs

CLO.1 Explains the use of risk managementconcepts specifically in the financial industryCLO.2 Describe the risk management procedures inthe financial industry

PLO.1

CLO.3 Apply risk management in the problems ofthe financial industryCLO.4 Determine the appropriate method of riskmanagementCLO.6 Have knowledge of current and future issuesrelated to the field of risk management

PLO.3

CLO.7 Able to communicate effectively and worktogether in interdisciplinary and multidisciplinaryteamsCLO.8 Have professional responsibilities andethicsCLO.9 Able to motivate yourself to think creativelyand learn throughout life

PLO.4

Content Risk analysis is a course that contains statistical methods formeasuring risk in accordance with risk and financial theory. Theresults of this risk analysis can be used as a basis for decisionmaking to determine risk diversification and investmentportfolios. To achieve this goal, the learning strategies used arediscussion, problem based learning (PBL), and exercises andassignments to perform real data analysis.

Study and

examination

requirements and

forms of

examination

● In-class exercises

● Mid-term examination

● Final examination

Media employed LCD, whiteboard, websites (myITS Classroom), zoom.

Reading list 1. Basel II Accord documentation. http://www.bis.org/publ/bebs107.htm

2. Borak, S., Härdle, W., and Hafner, C., 2011. Statistics ofFinancial Market: An Introduction. 3rd edition. Springer.

3. Hardle, W., Hautsch, N., and Overbeck L., 2008. AppliedQuantitative Finance. 2nd edition. Springer.

4. Hautsch, N., 2012. Econometrics of Financial High-FrequencyData. New York, Berlin, Heidelberg: Springer Verlag.

5. Jorion, P., 2007. Value at Risk: The New Benchmark forManaging Financial Risk. 3rd edition. McGraw-Hill.

6. Kaas, R., Goovaerts, M., Dhaene, J. and Denuit, M., 2008.Modern Actuarial Risk Theory. Springer.

7. Klugman, S.A., Panjer, H.H., and Willmotm G.E., 2008. Loss

Model : From Data to Decision. McGraw-Hill.

8. Tsay, R. S., 2013. An Introduction to Analysis of Financial Datawith R. 1st edition. Hoboken, New Jersey: John Wiley danSons, Inc.

9. Wei, W. W., 2006. Time Series Analysis Univariate andMultivariate Methods. 2nd edition. Canada: Addison WesleyPublishing Company.

http://www.bis.org/publ/%25252520bebs107.htm

http://www.bis.org/publ/%25252520bebs107.htm

RENCANA PEMBELAJARAN SEMESTER (RPS)SEMESTER LEARNING PLAN

Program Studi Sarjana, Departemen Statistika, FSAD-ITS

Mata Kuliah Analisis Resiko

Kode Mata

KuliahKS184650

Semester/SKS VI/3

MK Prasyarat Teori Probabilitas, Pengantar Teori Ekonomi, Analisis Deret Waktu

RP-S1 Dosen PengampuDr.rer pol. Dedy Dwi Prastyo, S.Si, M.Si

Imam Safawi Ahmad

Bahan KajianStudy Materials

Teori Statistika, Deskripsi dan Eksplorasi, Pemodelan, Industri dan Bisnis, Ekonomi dan ManajemenStatistics Theory, Description and Exploration, Modeling, Industrial and Business

CPL yang dibebankan MKPLO

CPL-1 Mampu menerapkan pengetahuan teori statistika, matematika, dan komputasiCPL-3 Mampu menganalisis data dengan metode statistika yang tepat dan mengintepretasikannyaCPL-4 Mampu mengindentifikasi,memformulasi, dan menyelesaikan masalah statistika di berbagai bidangterapan

CP-MKCLO

CPMK.1 Menjelaskan penggunaan konsep Manajemen Resiko secara khusus pada industri keuanganCPMK.2 Menjelaskan prosedur pengelolaan resiko dalam industri keuanganCPMK.3 Mengaplikasikan manajemen resiko dalam permasalahan industri keuanganCPMK.4 Menentukan metode yang sesuai dalam pengelolaan resikoCPMK.6 Memiliki pengetahuan tentang isu terkini dan mendatang yang berkaitan dengan

bidang pengelolaan resikoCPMK.7 Mampu berkomunikasi secara efektif dan bekerjasama dalam tim yang interdisiplin dan

multidisiplinCPMK.8 Memiliki tanggung jawab dan etika profesiCPMK.9 Mampu memotivasi diri untuk berpikir kreatif dan belajar sepanjang hayat



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

PertemuanMeeting

Kemampuan AkhirSub CP-MKFinal Ability

Keluasan (materipembelajaran)Extent (learning material)

MetodePembelajaranLearningmethods

EstimasiWaktuDuration

BentukEvaluasiEvaluation Type

Kriteria dan Indikator PenilaianAssessment Criteria andIndicators

BobotPenilaianScoring

1.

Memahami konsepanalisis investasi, antaralain nilai tunai, nilaimendatang, anuitas(anuitas akhir, anuitasawal & anuitas tertunda,dan obligasi).

Understand the conceptsof investment analysis,including cash value,future value, annuities(late annuities, early &

Review Matematika Keuanganmeliputi Analisis Investasi (NilaiTunai & Nilai Mendatang,Anuitas, dan obligasi)

Financial Mathematics Reviewincludes Investment Analysis(Cash Value & Future Value,Annuities, and bonds)

CeramahInteraktif-

Latihan SoalDiskusi (CILSD),Problem-basedlearning (PBL)

InteractiveLecture -

DiscussionProblemExercises(CILSD),

150 menit150

Minutes

Diskusi &Observasi Latihan& Tugas

Discussion &

Observation

Exercises&

Assignments

1.Mampu menerapkan konsepAnalisis Investasi, antara lainNilai Tunai, Nilai Mendatang &Anuitas Akhir.

2.Mampu menerapkan konsepAnalisis Investasi Anuitas Awal,Anuitas Tertunda serta Obligasi.

1. Able to apply the concept ofInvestment Analysis, includingCash Value, Future Value &Final Annuity.

2. Able to apply the concept ofInitial Annuity Investment

5%/5%



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

pending annuities, andbonds).

Problem-basedlearning (PBL)

Analysis, Pending Annuity andBonds.



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

2

Memahami manajemenresiko, langkah-langkahdalam identifikasi,pengukuran (likelihooddan severity) sertapengelolaan resiko.

Understand riskmanagement, the stepsin identification,measurement (likelihoodand severity) and riskmanagement.

1.Identifikasi Resiko2.Pengukuran Resiko3.Pengelolaan Resiko

1. Risk Identification2. Risk Measurement3. Risk Management

CILSD, PBLCILSD, PBL

150 menit150

Minutes


Discussion &

Observation

Exercises&

Assignments

1.Mampu menguasai sertamenjelaskan pengertianManajemen Resiko,langkah-langkah dalamidentifikasi & pengukuranresiko.

2.Mampu menguasai sertamenjelaskan langkah-langkahdalam pengelolaan resiko.

1.Able to master and explain themeaning of risk management,the steps in risk identification &measurement.

2.Able to master and explain thesteps in risk management.

5%/10%



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

3

Memahami pengertiandan bentuk tabelkematian (mortalitytable), kematian awal,probabilitas daneksposur kematian awal,interaksi probabilitaskematian awal danseverity kerugian.

Understand thedefinition and form of amortality table, earlymortality, probabilityand exposure of earlydeath, interactions of

Resiko Kematian:1.Tabel Kematian2.Probabilitas & Eksposur

Kematian Awal3.Interaksi Probabilitas

Kematian Awal & SeverityKerugian

Risk of Death:1. Death Table Early Death2. Probability & Exposure3. Interaction of Probability of

Early Death & Severity of Loss


150 menit150

Minutes


Discussion &

Observation

Exercises&

Assignments

1.Mampu menguasai sertamenjelaskan mengenai TabelKematian CSO 1980 & 2001,Kematian Awal, sertaProbabilitas & EksposurKematian Awal.

2.Mampu menjelaskan sertamenerapkan InteraksiProbabilitas Kematian Awal &Severity Kerugian.

1. Able to master and explain the1980 & 2001 CSO Death Table,Early Death, and Probability &Early Death Exposure.

2. Able to explain and applyProbability of Early DeathInteraction & Severity of Loss.

5%/15%



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

4-5

Mampu menjelaskanpengertian & terjadinyaresiko pasar, serta dapatmengukur resiko pasarmenggnakanpendekatan metodeDeviasi standar,VaR:Historis,VaR:Analitis, danVaR:Simulasi MonteCarlo.

Able to explain themeaning & occurrence ofmarket risk, and be ableto measure market riskusing the standarddeviation methodapproach, VaR:Historical, VaR:

Resiko Pasar:1.Metode Deviasi Standar2.Metode Pengukuran Value at

Risk (VaR)a.Metode Historis VaRb.Metode Analitis VaRc. Metode Simulasi Monte

Carlo3. Pendekatan moving window

dalam penghitungan VaR

Market Risk:1. Standard Deviation Method2. Value at Risk (VaR)

Measurement Methoda. VaR Historical Methodb. VaR Analytical Methodc. Monte Carlo Simulation

Methods


300 menit

300Minutes


Discussion &

Observation

Exercises&

Assignments

1.Mampu menguasai sertamenjelaskan pengertian &terjadinya resiko pasar sertametode-metode pengukuranresiko pasar.

2.Mampu menghitung resikopasar menggunakan metodeVaR dengan pendekatanhistoris, analitis, simulasiMonte Carlo.

3.Mampu menerapkanpendekatan moving windowdalam penghitungan VaR

1. Able to master and explain themeaning & occurrence ofmarket risk and methods ofmeasuring market risk.

2. Able to calculate market riskusing the VaR method with a

15%/30%



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

Analytical, and VaR:Monte Carlo Simulation.

3. Moving window approach incalculating VaR

historical, analytical, MonteCarlo simulation approach.

3. Able to apply a moving windowapproach in calculating VaR



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

6

Mampumembandingkan tingkatresiko dan return daribanyak instrumentinvetasi dan dapatmelakukan diversifikasiportfolio

Able to compare the riskand return levels ofmany investmentinstruments and todiversify the portfolio

3.Diversifikasi Portofolioa.Aset Independenb.Asset Dependen

4. Backtesting

3. Portfolio DiversificationIndependent AssetsDependent Assets4. Backtesting


150 menit150

Minutes


Discussion &

Observation

Exercises&

Assignments

1.Mampu membandingkantingkat resiko dan return daribanyak instrument invetasi

2.Dapat menghitung kebaikanmetode penghitungan VaRmenggunakan backtesting

3.Dapat melakukan diversifikasiportfolio

1. Able to compare the level ofrisk and return of manyinvestment instruments

2. Can calculate the goodness ofthe VaR calculation methodusing backtesting

3. Can diversify the portfolio

10%/40%



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

7

Metode pengukuranresiko denganpendekatannon-parametrik

The method ofmeasuring risk with anon-parametricapproach

Penghitungan VaR denganpendekatan Kernel DensityEstimator (KDE)

VaR calculation using the KernelDensity Estimator (KDE)approach


150 menit150

Minutes


Discussion &

Observation

Exercises&

Assignments

Mampu menghitung resikodengan pendekatannonparametrik

Able to calculate risk with anonparametric approach

10%/50%

8 ETS



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

9-10 Dapat menghitungresiko dari banyak assetyang tidak saling bebasDapat menghitungresiko dari banyak assetyang tidak saling bebas

Can calculate the risk ofmany assets that are notmutually exclusiveCan calculate the risk ofmany assets that are notmutually exclusive

Penghitungan VaR untuk asetyang tidak saling bebas denganpendekatan Copulae

VaR calculations for assets thatare not mutually exclusive withthe Copulae approach


300 menit

300Minutes


Discussion &

Observation

Exercises&

Assignments

Dapat menghitung resikomenggunakan VaR denganpendekatan Copulae

Can calculate the risk using VaRwith the Copulae approach

15%/65%



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

11-12

Pemodelan untuk penghitunganVaR menggunakanConditional-VaR dan beberapametode pemodelan terkini

Modeling for calculating VaRuses Conditional-VaR and someof the latest modeling methods


300 menit

300Minutes


Discussion &

Observation

Exercises&

Assignments

Dapat menghitung resiko denganpendekatan Conditional-VaR

Can calculate risk with theConditional-VaR approach

10%/75%



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

13-14

Dapat menghitungresiko yang melibatkanvariabel eksogen

Can calculate riskinvolving exogenousvariables

Pemodelan VaR denganpendekatan:1.GARCH-X2.ARMA-X dan GARCH-X3.Regresi Kuantil

VaR modeling with theapproach:1. GARCH-X2. ARMA-X and GARCH-X3. Quantile Regression


300 menit

300Minutes


Discussion &

Observation

Exercises&

Assignments

Dapat menghitung VaR denganpendekatan ARMA-X danGARCH-X, serta regresi kuantil

Can calculate VaR with ARMA-Xand GARCH-X approaches, andquantile regression

20%/95%



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

15

Mengetahui isu-isuterkini dalam analisisresiko di bidang finansial

Knowing the currentissues in risk analysis inthe financial sector

Pengenalan metode-metodemutakhir dalam pemodelan dananalisis resiko

Introduction of cutting-edgemethods in risk modeling andanalysis


150 menit150

Minutes


Discussion &

Observation

Exercises&

Assignments

Mahasiswa mengenalperkembangan metode terknidalam analisis resiko di bidangfinansial

Students are familiar with thedevelopment of this method inrisk analysis in the financial sector

5%/100%

16 EAS

PUSTAKA/ REFERENCES :1. Klugman, S.A., Panjer, H.H., Willmotm G.E., (2008), Loss Model : From Data to Decision, McGraw-Hill.2. Jorion, P., (2007), Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edition, McGraw-Hill3. Kaas, R., Goovaerts, M., Dhaene, J. and Denuit, M., (2008), Modern Actuarial Risk Theory. Springer.4. Tsay, R. S. (2013). An Introduction to Analysis of Financial Data with R (1st ed.). Hoboken, New Jersey: John Wiley & Sons, Inc.



Kode Mata

KuliahKS184650

Semester/SKS VI/3



Imam Safawi Ahmad

5. Wei, W. W. (2006). Time Series Analysis Univariate and Multivariate Methods (2nd ed.). Canada: Addison Wesley Publishing Company.6. Hautsch, N. (2012). Econometrics of Financial High-Frequency Data. New York, Berlin, Heidelberg: Springer Verlag.7. Borak, S., Härdle, W., and Hafner, C. (2011), Statistics of Financial Market: An Introduction, 3rd ed., Springer.8. Härdle, W., Hautsch, N., and Overbeck L. (2008), Applied Quantitative Finance, 2nd ed., Springer.9. Basel II Accord documentation, http://www.bis.org/publ/bebs107.htm

http://www.bis.org/publ/bebs107.htm

MODULE HANDBOOK RISK

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