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"The purpose of this study is to provide coroorate treasurers and pohcymakers with a better understandmg of the technical analysis as a legitimate approach for forecastmg the future trend of foreign exchange rates in order to be in a better position to hedge payables and receivables An understandmg of how this analysis is apphed to exchange rate forecastmg strategy should help market participants in terms of makmg more mformed decisions regarding exchange risk management and m terms of formulating currency hedgmg strategies Fundamental analysis is also overviewed concisely to provide market participants with a basic of fundamental based model of exchange rate forecastmg Although fundamental based models may perform relatively well over longer run time periods many market participants may be unwilling to nsk sigmficant amounts of Capital on the basis o f long-term forecasts smce their performance tends to be evaluated over relatively short time spans Given that exchange rates may deviate considerably from their long-run equilibrium path over short- and medium-term periods many market participants will view lt as simply too nsky to take large long or short positions on the basis of forecasts that may take too long to pan out That is a major reason why so many market participants now turn to technical analysis to help them formulate foreign-exchange management decisions particularly over short- to medium term horizons Indeed a strong case can be made for using technical analysis over short- to medium-term horizons since the overwhelming body of empirical evidence indicates that a variety of trend-following techmques would have offered significant nsk adjusted advantages had they been followed ui the past In tims study Indonesian currency rupiah is taken as the object of application of technical analysis for currency forecasting The free floating of rupiah value started from August 97 necessitate Indonesian compames operating on worldwide basis and having payables and receivables in US dollar as well as multinational compames operatmg m Indonesia to exercise an exchange rate forecastmg in order to cover their exposure agamst the volatihty of rupiah Regarding that fact the next purpose of this study is to demonstrate that techmcal approach is applicable for forecastmg the possible future trend of IDR value vis a vis US dollar A reliance on fundamental analysis alone can get corporate policymaker mto trouble smce historical data of the IDR versus USD reflects highly volatile manner that cant be explamed by fundamental approach Bringing technical analysis into the currency decision-making process is more appropnate for the purpose of short- to medium term forecasting that corporate needs The briefs of techniques that will be employed are as follows Trend analysis In a general sense the trend is simply the direction of market which way lt is moving This analysis is performed through the use of sets of trendlmes Channel A channel is a parallel line that can be traced against the trend line Cycles Cycles are the propensity for events to repeat themselves at roughly the same frequency Support and Resistance Levels These levels are useful for taking a position in order to hedge Moving Averages This technique is a trend following indicator that works best in a trending environment Momentum Oscillators This tool is verv usefiil in nontrendmg markets where prices fluctuate in a horizontal banci The Fibonacci ratios percentage retracement are ratios that help to determine price objectives in both impuise and corrective waves by analysis of retracement of the previous moves A composite approach to formulating exchange rates forecastmg strategy would work in the following manner First the market participant will exercise a combination of trend following techniques to assess whether a currencys short- to medium-term trend is bullish bearish or neutral At the same time based on analysis of the fundamental forces drivrng a currency s value over a long term horizon, market participant will determme the equilibrium path that a currency should take over time This exercise should be considered as an accompanymg opinion to the techmcal analysis After a thorough analysis lt is recommended m this study that techmcal analysis is applicable for the IDR versus USD exchange rate forecastmg and the techmcal factors do lead the known fundamentals"

"Tesis ini membahas mengenai analisa pengaruh variabel demografi yaitu umur pemilik kendaraan bermotor dan profesi dengan mengikutsertakan beberapa variabel kontrol yang dinilai juga memiliki hubungan. Penelitian ini menggunakan metode Generalized Linear Method dan memberikan hasil yang menunjukkan bahwa, hanya variabel umur pemilik kendaraan bermotor yang signifikan terhadap variabel severitas klaim, frekuensi klaim dan premi murni. Semakin bertambah usia seseorang akan berpengaruh terhadap penurunan premi dikarenakan semakin tinggi tingkat kehati-hatiannya sehingga premi yang diberikan semakin rendah.

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This thesis discusses the analysis of the influence of demographic variables such as age andprofession of motor vehicle owners . by including some of the control variables assessed also hashubunagn . This research method menggunazan Generalized Linear Method and results showedthat only age variable motor vehicle owners are significant to the variable severity of claims ,claim frequency and pure premium . The more mature person will affect the premium declinedue to the higher level of caution that given the lower premiums"

"ABSTRAKPerhitungan financial risk (dalam hal ini market risk) merupakan pekerjaan yang cukup kompleks dalam instrumen investasi. Tesis ini menjelaskan bagaimana aplikasi metode Quasi Monte Carlo. Perhitungan Principal Component Analysis (PCA) didahului sebelum dilakukan simulasi untuk mengurangi dimensi faktor sehingga dapat dihasilkan faktor tertentu saja yang merupakan faktor dominan dalam pergerakan yield untuk obligasi, untuk perhitungan nilai value at risk.Data yang digunakan dalam penelitian ini adalah JIBOR 1 bulan-6 bulan, dan yield indeks bond 1 tahun ? 30 tahun yang berasal dari Bloomberg sebagai dasar pembentukan model simulasi. Sementara FR69 (tenor 5 tahun), FR70 (tenor 10 tahun), FR71(tenor 15 tahun), dan FR68 (tenor 20 tahun) untuk perhitungan nilai value at risk.Simulasi dilakukan dengan menggunakan software Matlab yang menghasilkan metode simulasi Quasi Monte Carlo memberikan hasil nilai value at risk yang lebih akurat dan konsisten dibandingkan dengan hasil simulasi Monte Carlo dan menghasilkan nilai capital requirement yang diperlukan

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ABSTRACTFinancial risk calculation (in this context is Market Risk) was complex work on investment instrument. On this thesis will explained about how Quasi-Monte Carlo method with Principal Component Analysis (PCA) used for reducing factor dimension to produce certain factor which one is dominant factor to explain yield movement for bond, which is used for calculating value at risk.Using data from Jakarta Interbank Offered Rate (JIBOR) 1-month until 6-month, and government bond yield index 1-year until 30-year which gathered from Bloomberg to form a model for simulation. The research objects were Indonesia Government Bond, FR69 (5 year term), FR70 (10 year term), FR71 (15 year term), and FR68 (20 year term) to calculate the value of value at risk for each bond.The Matlab software used for simulation giving the result that indicates the Quasi-Monte Carlo Method from the lowest to highest number of simulation giving more accurate and consistent result compared to Monte Carlo Method and produce the capital requirement value."

"ABSTRAKPerhitungan secara kuantitatif mengenai jumlah maksimum risiko yang dapatditanggung, serta jumlah potential loss pada portofolio saham available for sales yang sebagian besar jumlahnya semakin tinggi setiap tahun. Berdasarkan hal tersebut dibutuhkan suatu metode untuk mengukur dan mengestimasi jumlahrisiko maksimum yang dapat ditanggung menggunakan Value at Risk denganSimulasi Monte Carlo. Value at risk merupakan maksimum kerugian yangdiharapkan dalam horizon waktu dengan tingkat kepercayaan tertentu. Alasanpemilihan simulasi Monte Carlo dikarenakan lebih powerfull dan flexible sertamemberikan estimasi yang lebih besar dibandingkan metode lainnya dengankelemahan tingkat komputasi yang rumit.Estimasi risiko portofolio saham available for sales dengan simulasi Monte Carlomemiliki dua kategori yaitu related parties dan third parties. Periode pengamatandata dilakukan dari Tahun 2012 sampai dengan Tahun 2014. Horizon waktu yangdigunakan untuk dilakukan simulasi secara tahunan dan kuartalan dengan tingkatkepercayaan yang digunakan yaitu 95%, 97.5% dan 99%. Hasil penelitianmenunjukkan bahwa sebagian besar emiten pada portofolio saham available forsales PT Taspen (Persero), nilai Value at Risk simulasi Monte Carlo lebih kecildibandingkan dengan potential loss yang ada. Sehingga dapat diberikan sarankepada PT Taspen (Persero) akan batas kerugian maksimal yang dihadapi setiapemiten. Selain itu, penentuan tingkat kepercayaan dapat disesuaikan dengankemampuan pencadangan dana suatu perusahaan, dikarenakan semakin tinggitingkat kepercayaan yang digunakan maka semakin tinggi pula cadangan danayang harus disiapkan.

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ABSTRACTQuantitative calculation of the maximum amount of risk that may be incurred, aswell as the amount of potential loss on a portfolio of stocks available for saleswere mostly higher in number every year. Based on this we need a method tomeasure and estimate the maximum amount of risk that may be incurred using theValue at Risk with Monte Carlo simulations. Value at risk is the maximumexpected loss within a time horizon with a certain confidence level. Reasons forthe selection of Monte Carlo simulation due to more powerful, flexible andprovide larger estimates than other methods but the weakness are complexitycomputational level..Monte Carlo Simulation for Risk Estimation of Available for Sale Stock Portfoliohas two categories of related parties and third parties. The data observation periodfrom 2012 up to 2014. Time horizon used for simulation of annual and quarterlybasis with a confidence level used is 95%, 97.5% and 99%. The results showedthat the vast majority of listed companies in the available for sale stock portfolioin PT Taspen (Persero), the result of the Value at Risk Monte Carlo simulation issmaller than the potential losses that exist. So it can be given advice to PTTASPEN (Persero) will limit the maximum loss that faced each issuer. Inaddition, the determination of confidence level can be tailored to a company'sability reserve fund, because the higher the level of trust that is used, the higherthe reserve fund must be prepared."

"Penelitian ini membahas kinerja portofolio yang dibentuk berdasarkan Model Investasi Warren Buffet dan penerapannya pada Bursa Efek Indonesia. Penelitian ini mengambil sampel 45 saham yang terdaftar pada Indeks KOMPAS100 periode tahun 2008 ndash; 2015. Betting Againt Beta dan Quality Minus Junk memberikan kriteria pemilihan saham yang murah, risiko rendah, dan berkualitas sesuai dengan Model Investasi Warren Buffet. Portofolio yag dibentuk berdasarkan kriteria investasi Warren Buffet mampu menciptakan alpha yang lebih baik apabila dibandingan dengan return pasar atau Indeks Harga Saham Gabungan. Portofolio yang dibentuk berdasarkan Quality Minus Junk mampu memperoleh Sharpe ratio sebesar 0,65. Portofolio yang dibentuk berdasarkan kriteria Investasi Warren Buffet mampu memperoleh Sharpe ratio sebesar 0,59. Dari hasil penelitian ini, faktor Betting Against Beta dan Quality Minus Junk mampu memberikan pengaruh yang signifikan terhadap beberapa saham individual maupun terhadap portofolio yang dibentuk sehingga Model Investasi Warren Buffet ini dapat diterapkan di Bursa Efek Indonesia.

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The focus of this strudy is to understand the stock portfolio based on Warren Buffet Investment Model and its application in Bursa Efek Indonesia. The data sampled from 45 stocks which are selected in KOMPAS100 index for the period 2008 ndash 2015. Betting Againts Beta and Quality Minus Junk Factor give the criteria of cheap, low risk, and high quality stocks. Portfolio which are selected based on Warren Buffet Investment Model criteria could create positive alpha compared to market return. Quality Minus Junk portfolio could reach Sharpe ratio of 0.65 and Warren Buffet portfolio could reach 0.59. From this study Betting Againts Beta and Quality Minus Junk Factor could effect the individual stocks return and the portfolio return which could be applied in Bursa Efek Indonesia."