PENGUKURAN RISK DAN RETURN PADA PEMBIAYAAN BANK SYARIAH MANDIRI DENGAN APLIKASI METODE VALUE AT RISK (VAR) DAN RISK ADJUSTED RETURN ON CAPITAL (RAROC) PERIODE 2015 – 2019

Abstract

This study aims to identify and analyze: The potential risk and return on investment returns on financing at Bank Syariah Mandiri in Indonesia using the VaR and RAROC application methods. This study uses the Value at Risk (VaR) method to measure potential losses and the Risk Adjusted Return on Capital (RAROC) method to measure potential returns that have been adjusted to risk. The type of data used is secondary data. The results of the study using the VaR method show that the highest potential risk occurs in the musyarakah financing contract, while murabahah and mudharabah financing tends to be more stable. The results of research using the RAROC method show that. the level of income earned results in a negative RAR value, so that it can erode Bank Syariah Mandiri capital in the event of a loss. Because capital is used to cover losses that arise.Suggestions that can be given are as follows: 1. This research is expected to provide an overview to help Bank Syariah Mandiri to be more efficient in the flow of funds provided in creating profits for the bank. 2. For further research, it is necessary to perform the performance of Islamic banks using the RAROC method by calculating the banking risk for each financing. So that a more detailed RAROC value will be obtained for each contract from an Islamic bank as a comparison.

Keyword : Risk, Return, Financing, Value at Risk (VaR), Risk Adjustet Return on Capital (RAROC).