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ANALYZING DISASTER RISK IN PT. X, USING EXTREME VALUE THEORY

Penulis : ARRESTY WAHYU ANDHINI (NIM 19007077)
Kontributor / Dosen Pembimbing :
  • Pembimbing: Ir. Achmad Herlanto Anggono, MBA.
Jenis Koleksi : Tugas Akhir
Tahun Terbit :
Penerbit : Sekolah Bisnis dan Manajemen
Fakultas : Sekolah Bisnis dan Manajemen
Subjek :
Kata Kunci : risk, operational risk, disaster risk, extreme value theory, generalized extreme value, value at risk, free cash flow
Sumber :
Staf Input/Edit : Vika Anastasya Kovariansi   Vika Anastasya Kovariansi
File : 7 file
Tanggal Input : 29 Jun 2012

2010 TA PP ARRESTY WAHYU ANDHINI 1-COVER.pdf

2010 TA PP ARRESTY WAHYU ANDHINI 1-BAB 1.pdf
2010 TA PP ARRESTY WAHYU ANDHINI 1-BAB 2.pdf
2010 TA PP ARRESTY WAHYU ANDHINI 1-BAB 3.pdf
2010 TA PP ARRESTY WAHYU ANDHINI 1-BAB 4.pdf
2010 TA PP ARRESTY WAHYU ANDHINI 1-BAB 5.pdf
2010 TA PP ARRESTY WAHYU ANDHINI 1-PUSTAKA.pdf

The purpose of this study is to analyze the losses caused by natural disaster risk using extreme value theory. This method is often used to analyze data that has resulted in big loss but with the rare frequency. This analysis includes determining the appropriate statistical distribution model that can be done to calculate value at risk (VaR) based on losses data. VaR is the maximum stated amount of potential losses from operational risk at a certain confidence level. VaR calculation results then will be compared with the company's free cash flow to see whether the company has sufficient funds to cope with this disaster risks or not. In addition, this study will also map out any type of disaster that can cause huge losses to the company, along with the frequency of occurrence of these disasters.

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