Analisis Resiko dan Pengembalian Hasil pada Perbankan Syariah: Aplikasi Metode VaR dan RAROC pada Bank Syariah Mandiri
Abstract: The aim of this
research is to comprehend the size of financial risk of investment on Islamic
bank, using Value at Risk (VaR) and Risk Adjusted Return on Capital (RAROC) approaches.
VaR is employed to measure the net return of mudharabah deposit, meanwhile
RAROC is used for measuring the net bank profitability. This research is
expected to give information for investors about financial and capital risk of
their investment on Islamic banking industry, in term of deposits, share or
Islamic bond. The object of this research is the financial reports of Bank
Syariah Mandiri (BSM) for three years, 2004 to 2006. VaR analysis shows that
return on Mudharabah deposit at the BSM is stable enough for the period of
observation. It means that the loss potential is low. In 2006, The relationship
between VaR (zero) and gross expected return on Mudharabah deposit for three
months is prospective if it is compared by 2004 and 2005 years. On the other
hand, RAROC analysis shows that the profit potential of BSM has been declined during
three years, 2004 to 2006. The low level and fluctuation of the level of
non-performing financing (NPF) already brought BSM to the lower capital risk.
Keywords: Investment, Value at
Risk, Risk Adjusted Return on Capital, mudharabah deposits, potential loss,
Bank Syariah Mandiri
Penulis: Yudho Prabowo
Kode Jurnal: jpperadabanislamdd090067
