UI - Tesis (Membership) :: Kembali

UI - Tesis (Membership) :: Kembali

Penilaian dan analisis instrumen forward dan strategi call spread option untuk mengurangi efek fluktuasi laba (rugi) kurs dalam laporan keuangan perusahaan X = Assessment and analysis of forward instrument and call spread option strategy to reduce fluctuation effect of gain loss on foreign exchange in the financial statements of company X / Andromeda Hermawan Tristanto

Andromeda Hermawan Tristanto; Tedy Fardiansyah, supervisor; Roy H.M> Sember, Examiner; Imo Gandakusuma, examiner (Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2013)

 Abstrak

ABSTRAK
Tesis ini membahas efektifitas dan efisiensi kontrak lindung nilai forward dan
strategi call-spread option dalam mengurangi fluktuasi laba/(rugi) bersih
Perusahaan X sebagai akibat dari fluktuasi laba/(rugi) kurs porsi non-cash atas
utang dan obligasi dalam USD. Efektifitas diukur dengan melakukan
perbandingan standar deviasi laba/(rugi) kurs antara sebelum dan sesudah masuk
ke dalam kontrak lindung nilai tersebut sedangkan efisiensi diukur dengan melihat
besar realisasi biaya atas kontrak-kontrak lindung nilai tersebut. Penelitian
dilakukan untuk periode laporan per kuartal sejak awal tahun 2003 s/d. akhir
2012. Valuasi kontrak forward menggunakan metode Net Present Value (NPV)
sedangkan valuasi strategi call-spread option dilakukan dengan menggunakan
model Geometric Brownian Motion dengan simulasi Monte Carlo. Dari penelitian
ini ditemukan bahwa kontrak forward secara historis terbukti mampu mengurangi
fluktuasi laba/(rugi) kurs namun trade-off dari hal ini adalah biaya lindung nilai
yang relatif lebih tinggi dibanding kontrak call-spread option. Di sisi lain, strategi
call-spread option juga mampu mengurangi fluktuasi laba/(rugi) kurs walaupun
tidak se-efektif kontrak forward. Terdapat trade-off antara mengurangi risiko
dengan biaya yang diperlukan untuk mengurangi risiko tersebut.

ABSTRACT
This thesis explored the hedging contracts effectiveness and efficiency of forward
contract and call-spread option strategy to reduce fluctuations in profit/(loss) of
Company X as a result of fluctuations in profit/(loss) on exchange rate of noncash
portion of the debt and bonds in USD. Effectiveness was measured by
comparing standard deviation of profit/(loss) on exchange rate before and after
applying the hedging contract while efficiency was measured by level of actual
hedging cost. The study was conducted for the quarterly reporting period since
early 2003 to end of 2012. Valuation of forward contracts was done by using the
Net Present Value (NPV) while valuation of call-spread option strategy was done
by using Geometric Brownian Motion Model with Monte Carlo simulations. From
the study it was found that forward contracts have historically proven to reduce
fluctuations in profit/(loss) on exchange rate but with higher hedging cost relative
to call-spread option contracts. On the other hand, call-spread option strategy was
also able to reduce fluctuations in profit/(loss) on foreign exchange forward
contracts, although it was not as effective as forward contracts. There was tradeoff
between reducing risk and the cost required to reduce the risk.

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 Metadata

Jenis Koleksi: UI - Tesis (Membership)
No. Panggil : T-Pdf
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Subjek :
Penerbitan : [Place of publication not identified]: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2013
Program Studi :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource
Deskripsi Fisik : xiv, 121 pages : illustration ; 28 cm + appendix
Catatan Bibliografi : pages 85-86
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
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