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"Tugas akhir ini mengkaji harga opsi put Eropa dengan aset dasar zero-coupon bond dan tingkat bunga diasumsikan mengikuti model Vasicek dengan jump. Kajian dilakukan dengan mengkonstruksi kembali persamaan harga opsi put Eropa tersebut. Ukuran jump didefinisikan mengikuti distribusi mixed-exponential. Dengan memanfaatkan infinitesimal generator dan konsep martingale dapat dikonstruksi transformasi Laplace dari distribusi model Vasicek dengan jump. Kemudian, dengan menggunakan hasil transformasi Laplace dari distribusi model Vasicek dengan jump dan konsep equivalent martingale measure dapat dikonstruksi persamaan harga opsi put Eropa dengan aset dasar zero-coupon bond.

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This undergraduate thesis examines the price of European put options with underlying asset zero-coupon bond and the interest rate following the Vasicek model with jump. The study was conducted by reconstructing the European put option pricing equation. The jump size is defined following a mixed-exponential distribution. By utilizing infinitesimal generators and martingale concepts, Laplace transform is constructed for the distribution of the Vasicek model with jump. Then, using the results of the Laplace transform for the distribution of the Vasicek model with jump and the concept of equivalent martingale measure, the European put option pricing equation with underlying asset zero-coupon bond is constructed."

"Meskipun Kementerian BUMN telah memiliki suatu alat untuk mengukur tingkat kesehatan BUMN Non Jasa Keuangan yaitu berdasarkan Keputusan Menteri BUMN Nomor Kep-100/MBU/2002 Tentang Penilaian Tingkat Kesehatan BUMN, namun belum banyak penelitian yang menguji tingkat akurasi motede penilaian tersebut. Dikarenakan keterbatasan data, maka pengujian yang dilakukan dalam penelitian ini adalah dengan membandingkan hasil penilaian kesehatan berdasarkan Keputusan Menteri BUMN Nomor KEP-100/MBU/2002 dengan hasil penilaian tingkat kesehatan berdasarkan Emerging Market Scoredengan melakukan uji korelasi Rank Spearman dan menganalisa faktor-faktor yang menyebabkan perbedaan antara kedua metode tersebut. Metode Emerging Market Score dipilih karena metode ini diciptakan untuk dapat diterapkan baik perusahaan terbuka maupun tertutup di negara berkembang, dimana karakteristik ini sesuai dengan karakteristik BUMN di Indonesia.Hasil pengujian menunjukkan bahwa penilaian kesehatan berdasarkan Keputusan Menteri BUMN Nomor Kep-100/MBU/2002 cenderung lebih optimisdibandingkan kondisi BUMN Non Jasa Keuangan sebenarnya.Penelitian ini merekomendasikan penelitian lebih lanjut untuk membangun suatu model penilaian kesehatan dengan menggunakan data BUMN di Indonesia sehingga memiliki tingkat akurasi yang lebih baik.

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Although The Ministry of State Owned Enterprises of Indonesia already had a tool in assessing Non Financial Service State Owned Enterprises‟ financial health as stated in Keputusan Menteri BUMN Number: KEP-100/MBU/2002, appropriate tests of whether the method really accurate in practice is lacking. Since there is no sufficient data available to do a sophisticated accuracy tests, the test in this research is done by comparing the assessment results using The Ministry of State Owned Enterprises‟ method with Emerging Market Score‟s results with Spearman‟s Rank Correlation test. The Emerging Market Score method is chosen because it was specifically developed to be applied in public companies as well as private companies in emerging markets, which is appropriate with the characteristic of Indonesian State Owned Enterprises. The findings from this research provide evidence that the method developed by The Ministry of State Owned Enterprises tends to generate overvalued financial health conditions of the Non Financial Service SOEs. This thesis recommends further research to build a model based on Indonesian SOEs financial performances to have a higher degree of accuracy."

"Penelitian ini bertujuan untuk menganalisis BUMN non jasa keuangan untuk dapat mengantisipasi kebangkrutan dan mendapatkan hasil antara Altman Z Score dan KEP-100/MBU/2002. Penelitian ini menggunakan rasio-rasio keuangan dari tahun 2016-2018. Penelitian ini bersifat kuantitatif dengan menggunakan sumber data sekunder dari laporan internal perusahaan dan website resmi lainnya. Hasil yang didapatkan dengan metode Altman Z Score di tahun 2016 terdapat 4 BUMN yang diprediksi bangkrut, di tahun 2017 terdapat 7 BUMN yang di prediksi bangkrut, dan di tahun 2018 terdapat 6 BUMN yang diprediksi bangkrut. Adapun dengan metode KEP-100/MBU/2002 tidak ada perusahaan yang berada di kategori tidak sehat. Penelitian ini diharapkan berguna bagi para pengambil keputusan di BUMN untuk menghadapi tantangan dan meningkatkan performa perusahaan.

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Focus of this research is to analyze performance of nonfinancial sector state owned enterprises (SOE's) in Indonesia using Altman Z Score's bankruptcy prediction analysis and The Decree No. KEP-100/MBU/2002 issued by Ministry of Stated Owned Enterprises of Indonesia on June 2002 in order to find main factors that cause potential bankruptcy in the company and as a reference for company's performance improvement. This research is quantitative with the use of data from company's financial report from 2016-2018. The result based on Altman Z Score shows that in 2016 4 SOE's are predicted bankrupt, in 2017 7 SOE's are predicted bankrupt and in 2018 6 SOE's are predicted bankrupt. Whilst using KEP-100/MBU/2002 there is no SOE predicted bankrupt. This study could be used by SOE's decision makers to tackle the challenge and improve company's performance."

"Research in Finance volume 32 reflects the current and primary issues in financial markets and to applying financial modeling in emerging markets."

"ABSTRAKPenelitian ini bertujuan untuk mengembangkan model prediksi peringkat kredit perusahaan dengan menggunakan data keuangan yang tersedia di publik. Model regresi probit ordinal digunakan dalam penelitian ini untuk menentukan spesifikasi dari interval peringkat kredit. Model diuji menggunakan data perusahaan non-keuangan yang terdaftar di Bursa Efek Indonesia dalam periode 2007-2016. Periode tersebut dipilih sebagai perbandingan situasi ekonomi Indonesia yang sempat mengalami dua kali pelemahan ekonomi pada tahun 2008 dan 2013. Berdasarkan hasil empiris, didapat sebuah model yang mampu memprediksi peringkat kredit perusahaan di situasi ekonomi yang beragam dengan menggunakan data keuangan yang sederhana. Model yang dihasilkan mampu memiliki kemampuan prediksi dalam periode satu sampai tiga tahun ke depan.

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ABSTRACTThis study aim to develop a methodology using accounting data to construct a credit rating prediction model in Indonesia. Ordered probit analysis is being used in this study to know the specification of statistically significant credit rating intervals. A simple, public domain information based model are able to construct to predict credit rating using financial variable. We test our model using only quantitative and publicly available information of Indonesian listed firms over 2012-2017, a period which includes both crisis phase and slow economic growth of Indonesian economy. Under this scheme, we observe not only a clear and timely response of ratings to the changing economic environment, but we also obtain significant predictive ability model."

"Penelitian ini membuktikan mengenai intensitas pencarian (search volume) terhadap stock return dan likuiditas di negara emerging market. Sampel terdiri dari 9 negara emerging market berdasarkan Morgan Stanley Capital International (MSCI) Emerging Market Index. Intensitas pencarian diproksikan oleh Google Trend bernama Google Search Volume Index(SVI) sebagai proksi untuk perhatian investor dan Abnormal Trading Volume (ATV) sebagai proksi likuiditas. Dalam penelitian ini, kami menggunakan Model Tiga Faktor Fama-French untuk menjelaskan variabilitas return saham di emerging market. Penelitian ini menggunakan data mingguan untuk periode Juli 2014-Juni 2018 dan currency depreciation sebagai peristiwa attention-grabbing. Kami mengklasifikasikan sampel ke dalam 3 portofolio yaitu negara yang memiliki depresiasi mata uang rendah, negara yang memiliki depresiasi mata uang menengah, dan negara yang memiliki depresiasi mata uang tajam. Hasilnya, terdapat indikasi SVI berpengaruh terhadap portofolio walaupun secara keseluruhan SVI tidak signifikansi terhadap return saham namun signifikan terhadap likuiditas. Faktor pasar (premi risiko pasar) positif dan signifikan pada portofolio keseluruhan. ATV memiliki informasi yang lebih dominan dari SVI dalam menjelaskan return saham. Selain itu, kami menemukan bahwa pada negara yang memiliki depresiasi mata uang rendah dan depresiasi tajam, preferensi investor berinvestasi pada small stock dengan book-to-market yang tinggi sementara pada negara yang memiliki depresiasi mata uang menengah preferensi investor untuk berinvestasi pada big stock dengan book-to-market yang tinggi. Dapat disimpulkan bahwa pada emerging market investor akan berperilaku rasional dalam jangka panjang.

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The research examines the evidence of search intensity toward stock return and liquidity in emerging market country. The sample consists of 9 emerging market country classified as Morgan Stanley Capital International (MSCI) Emerging Market Index. Search intensity is measured by Google Trends named Google Search Volume Index (SVI) as a direct proxy for investors attention and Abnormal Trading Volume (ATV) as proxies for liquidity. We use the Fama-French Three-Factor Model to explain stock return variability in emerging market. We obtain weekly data for the period from July 2014-June 2018 and currency depreciation as an attention-grabbing event. We classified the sample into 3 portfolios which are low currency depreciation, medium currency depreciation, and sharp currency depreciation. The result showed that the SVI has a tendency to explain stock return variability in portfolio even though in general SVI insignificant toward stock return however significant on liquidity. Market factor (market risk premium) consistent positive and significant in overall portfolio. ATV has dominance information rather than SVI in explaining stock return. Additionally, we find that in low and sharp currency depreciation, investor tend to invest in small stock with high book to market meanwhile in medium currency depreciation investor tend to invest in big stock with high book to market. Overall, we conclude that in emerging market, in a long term investor behave on their rationality."

"ABSTRAKPenelitian ini menganalisa determinan kecondongan tingkat pengembalian (skewness of return) indeks pasar pada beberapa negara berkembang seperti Bangladesh, China, Filipina, India, Indonesia, Korea, Malaysia, Pakistan, Thailand dan Turki, dengan menggunakan variabel seperti tingkat pengembalian (return), volatilitas tingkat pengembalian (return), kecondongan tingkat pengembalian (skewness of return), volume perdagangan, volatilitas volume perdagangan, dan kecondongan (skewness) volume perdagangan dengan mempertimbangkan kemungkinan adanya hubungan tidak langsung antar variabel tersebut. Penelitian ini menggunakan metode regresi dan vector autoregression (VAR), dan didapatkan hasil bahwa volume perdagangan berpengaruh positif terhadap kecondongan tingkat pengembalian (skewness of return), baik secara langsung maupun secara tidak langsung.

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ABSTRACTThis study analyzed the determinant of the skewness of market return indices in some developing countries such as Bangladesh, China, Philippines, India, Indonesia, Korea, Malaysia, Pakistan, Thailand and Turkey, by using variables such as the return, volatility of return, skewness of return, trading volume, volatility of trading volume, and skewness trading volume by considering the possibility of an indirect relationship between the variables. This study uses regression and vector autoregression (VAR), and it showed that trading volume has positive effect on the skewness of return either directly or indirectly."

"Penelitian ini dilakukan untuk menganalisis literasi pasar modal, preferensi risiko, dan perilaku keuangan terhadap probabilitas keputusan investasi saham. Model penelitian menggunakan kuesioner sebagai instrumen penelitian dengan sampel warga negara Indonesia yang tinggal di Indonesia dengan minimal usia 18 tahun. Selanjutnya, regresi logistik biner diterapkan untuk mengetahui apakah literasi pasar modal, preferensi risiko, dan perilaku keuangan mempengaruhi probabilitas keputusan investasi saham. Hasil penelitian menunjukkan bahwa literasi pasar modal, dan preferensi risiko mempengaruhi probabilitas keputusan investasi secara signifikan. Penelitian ini juga menganalisis apakah jenis kelamin mempengaruhi literasi pasar modal dan preferensi risiko. Hasil uji crosstabulation menunjukkan bahwa pria cenderung berinvestasi saham dibandingkan dengan wanita. Pria juga memiliki tingkat literasi pasar modal dan preferensi risiko yang lebih tinggi dibandingkan dengan wanita.

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This research was conducted to analyze capital market literacy, risk preferences, and financial behavior towards the probability of investment decisions in the stock market. The research model uses a questionnaire as a research instrument with a sample of Indonesian citizens living in Indonesia with a minimum age of 18 years. Furthermore, binary logistic regression is applied to find out whether capital market literacy, risk preferences, and financial behavior affect the probability of investors investment decisions in the stock market. The results showed that capital market literacy and risk preferences significantly influenced the probability of investment decisions. This research is also analyzes whether gender affects capital market literacy and risk preferences. Crosstabulation test results showed that men tend to invest in shares and have higher level of capital market literacy and risk preferences compared to women."

"This article is the result of institutional research on building model of corporate culture of UPN “Veteran” Yogyakarta based on Basic Values of State Defense towards State University Based on Financial Management-Public Service Ageny (PTN PK-BLU. This research belongs to the descriptive research. Data was collected through distributing questionnaires to 195 respondents and focus group discussions (FGD). The results of the research explained that in general, based on the characteristics of UPN “Veteran” Yogyakarta as a state university characterized by State Defense, there needs to be strengthening or development of a new corporate culture at UPN “Veteran” Yogyakarta based on the basic values of state defense towards PTN PK-BLU. Corporate culture that needs to be built is Discipline, Struggle, Creativity, Excellence, love for Homeland, Consciousness of have a nation and state, Convinced of Pancasila as the Foundation of the State, Willing to Sacrifice for the Nation and state, possessing initial ability for the state defense, Honesty and Integrity, Learner, and Upholding Meritocracy. To build this culture, there are a number of effort that need to be carried out, namely, involving stakeholders in formulating corporate culture, massive socialization, budgetary support in upholding the corporate culture, sustainable monitoring and evaluation, and building information, and reward and punishment system, which supports the emergence of a new corporate culture."

"Addresses such topics as : hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and more. "