Optimization of Assets and Liabilities Portofolio, Using Linear Programming Model and Value at Risk; a Case Study at Bank BNI

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Azhar, Aidil and Basarah, Adjat Djatnika and Rianti, Susi and Montol, Rosady T.A. and Poerwo, Ligwina S. and ZulfikarA and Gautama, Bodi (2004) Optimization of Assets and Liabilities Portofolio, Using Linear Programming Model and Value at Risk; a Case Study at Bank BNI. Project Report. Sekolah Tinggi Manajemen IPMI, Jakarta Selatan. (Unpublished)

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Abstract

This group field project will discuss how Bank BNI can benefit from optimization of its assets and liabilities portofolio. Such optimization is necessary as Bank BNI is seeking to move away from 'recap bonds' which were injected as capital addition during the monetary crisis. Thus, it is important that not only that Bank BNI activates its intermediary functions but is also able to invest better by managing maximum returns from Assets and minimizing costs from Liabilities within tolerable risks. We have identified that the problems are derived from the business are: 1. What is the appropriate model to be used as a tool to determine the optimum portfolio? What is the A / L Optimum Portfolio level and the greatest 2. benefits? What is the potential risk embedded in each component of A / L 3. portfolio? In setting up the model, the tools used are: Value at Risk (as Risk Measure) and Linear Programming Model (Optimization). Bank BNI's Asset and Liability classes are divided into Rupiah Asset, Rupiah Liability, Foreign Currency Asset and Foreign Currency Liability. In setting up the model, the tools used are: Value at Risk (as Risk Measure) and Linear Programming Model (Optimization). Bank BNI's Asset and Liability classes are divided into Rupiah Asset, Rupiah Liability, Foreign Currency Asset and Foreign Currency Liability. The results of the Optimization Model are: 1. Lower opt, composition for Assets with Lower Yield to Risk Ratio 2. Higher opt. composition for Assets with Higher Yield to Risk Ratio 3. Lower opt. composition for Liabilities with Higher Cost to Risk Ratio 4. Higher opt. composition for Liabilities with Lower Yield to Risk Ratio

Item Type:	Monograph (Project Report)
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
Divisions:	Library > GFP (Group Field Project)
Depositing User:	Putri Lumithasari
Date Deposited:	16 Jan 2020 07:00
Last Modified:	22 Jan 2020 03:28
URI:	http://repository.ipmi.ac.id/id/eprint/193

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