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Market Risk Management Analysis of Sharia Commercial Banks in Indonesia with Value at Risk (VaR) and Risk Adjusted Return on Capital (Raroc) Methods
Aqidah Asri Suwarsi, Julia Noermawati ES, Rozikan

1 Department of Sharia Economics, Universitas Muhammadiyah Yogyakarta, Jalan Brawijaya, Bantul, D.I. Yogyakarta, Indonesia 55183


Indonesian Banking Architecture (API) as a comprehensive framework for the direction of banking industry development policies. One of the pillars of API is create a banking industry that is healty, highly competitive and has resilience in the face of risk. Risk Management acts to ensuring risk in Banks tolerance corridor, increasing shareholder value, giving a analyze to potential losses in the future, calculating expected return potential from bank capital, and contributing to assessment and supervision of OJK as a regulator. Market Risk is one of ten risks that are difficult to measure because it deals with a fluctuating economic situation. The function of this research is not only to analyze market risk management but also to provide input to the banking sector regarding the accuracy of the risk management measurement model so that Islamic Commercial Banks can formulate risk management strategies (risk control and mitigation) that are appropriate because of fluctuating market conditions. This research is a quantitative descriptive with the VaR and RAROC methods. The population is the Indonesian Islamic Commercial Bank. Sampling using purposive sampling technique. The Intended Result Market Risk Sharia Commercial Banks in Indonesia are potentially small

Keywords: Risk Manajemen of Islamic Banking, VaR, Raroc

Topic: International Conference on Islamic Studies in the Digital Era


Conference: The 3rd International Conference on Sustainability and Innovation (ICoSI 2019)

Plain Format | Corresponding Author (Aqidah Asri Suwarsi)

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