Influence of Market Risk on Capital and Performance Of PT. Bank Negara Indonesia (Persero) Tbk

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Kaawoan, Demsia and Pontororing, Hennrie F. and Tolosang, Jens F. and Suharyo, John A. and El Rahman, M. Taufiq (2006) Influence of Market Risk on Capital and Performance Of PT. Bank Negara Indonesia (Persero) Tbk. Project Report. Sekolah Tinggi Manajemen IPMI, Jakarta Selatan. (Unpublished)

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Abstract

Executive Summary This group field project will discuss how BNI deals with market risks and how can risks on BNI's performance and capital and the appropriate of market risk modeling benefits from portfolio diversification, and investigating effects and influences of markets we have applied. In recent decades the market risk issue has surfaced as Banking for International Settlement established the involvement of market risk as a parameter for the calculation of Capital Adequacy Ratio of financial institutions including banks. Even though the rule has not come to implementation yet, but as most banking systems in the world are preparing for it to put into practice, BNI has to be prepared also. The rule requires utilizing a method so called the Internal Model for accessing and quantifying market risk, instead of the standardized method which has already been put into practice today. Such Internal Model is an approach based on self-assessment of market risk using certain statistical methods. A model has been validated or calibrated well before it is appropriately applied since the consequences are at the level of capital that would be charged and the capital limit which is available.

Item Type: Monograph (Project Report)
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions: Library > GFP (Group Field Project)
Depositing User: Elza Christina Nur Ramadani
Date Deposited: 15 Jan 2020 09:48
Last Modified: 22 Nov 2021 03:57
URI: http://repository.ipmi.ac.id/id/eprint/91

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