Path: TopS2-ThesesMathematics-FMIPA2012

PENERAPAN ASSETS AND LIABILITIES MANAGEMENT SEBAGAI INSTRUMENT UNTUK MELIHAT PERILAKU SUATU BANK

APPLICATION AND LIABILITIES ASSETS MANAGEMENT BEHAVIOR AS AN INSTRUMENT FOR BANK

Master Theses from JBPTITBPP / 2017-09-27 14:41:43
Oleh : SINTRI ARINI (NIM. 20110022), S2 - Mathematics
Dibuat : 2012-11, dengan 8 file

Keyword : Asset and Liability Management.

Assets and Liabilities Management adalah suatu model matematika yang mengatur alokasi assets dan liabilities suatu bank. Tujuan utama dari Assets and Liabilities Management adalah untuk memaksimumkan subjek pendapatan














terhadap level suku bunga yang dapat diterima dan risiko likuiditas.














Pada tesis ini, Assets and Liabilities Management yang dibangun berdasarkan model single-period. Risiko suku bunga diformulasikan menjadi suatu fungsi objektif. Fungsi objektif bertujuan meminimumkan variansi perubahan gain














terhadap beberapa kendala, seperti: kendala asset’s gap, kendala liability’s gap, kendala yield rata-rata, kendala distribusi, kendala durasi, kendala konveksiti, dan kendala biaya transaksi. Sementara itu, risiko likuiditas ter-cover pada regulasi pemerintah yang dipenuhi oleh Assets and Liabilities Management.














Secara umum tesis ini membahas Assets and Liabilities Management mulai dari memformulasi fungsi objektif hingga mengaplikasi Assets and Liabilities Management pada suatu data bank.

Deskripsi Alternatif :

Assets And Liabilities Management is a mathematical model that manage the alocation of bank’s assets and liabilities. The primary goal from this Assets and Liabilities Management is to maximize earnings subject to acceptable levels of interest rate and liquidity risk.














In this thesis, Assets and Liabilities Management is built based on single-period model. Interest rate risk is formulated to be a objective function. The objective function goals to minimize the variance of changes in gain with respect to some constraints, such as: asset’s gap constraint, liability’s gap constraint, average yield constraint, distribution constraint, duration constraint,














convexity constraint, dan transaction cost constraint. Meanwhile, liquidity risk is covered by government’s regulation that obtained by Assets and Liabilities Management.














Generally, this thesis explain about Assets and Liabilities Management start from formulate the objective function until apply the Assets and Liabilities Management to data of a bank.

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Kontributor...

  • Pembimbing I : Dr. Lienda Noviyanti,














    Pembimbing II : Dr. Muhammad Syamsuddin., M.Com.
    , Editor: Alice Diniarti

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