Aplikasi Metode VaR Dan RAROC Atas Risiko Dan Pengembalian Hasil Pada Bank Syariah Mandiri

Abstract

ABSTRACT
The purpose of this study is to discuss the level of risk (loss) of
Mudharabah Deposit investment and the rate of return (pengemblian result) from
Bank Syariah Mandiri. This research uses 2 methods of Value at Risk (VaR) to
measure risk level and Risk Adjusted Return on Capital (RAROC) method to
measure risk returns that have been adjusted with risk. This research is expected
to provide information for investors about financial risks and investment capital
of sharia banking.
The results of research using VaR and RAROC methods from financial
statements in Bank Syariah Mandiri for three years, 2014 - 2016 showed that the
level of risk for 3 months is quite stable because the value of VaR (zero) is
negative and the VaR value (mean) is lower than the value Expected Returns
during the Year 2014 - 2016. While the results of the RAROC method indicate that
the level of profit that has been adjusted with the risk in Bank Syariah Mandiri
concluded that RAROC is positive, meaning the level of profit in Bank Syariah
Mandiri greater than the level of risk.
Keywords: Risk, Return, Mudharabah Deposits, Value at Risk (VaR), Risk
Adjusted Return on Capital (RAROC)