Stephanus, Stephanus and Bustaman, Yosman (2009) The Use of Financial Hedging Tools in Asset-Liability Management to Manage Interest Rate Risks Faced By Banks and Its Effect to Profit (Study Case : PT. Bank Danamon Indonesia Tbk). Bachelor thesis, Swiss German University.

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Abstract

Interest rate risk is one of the risks that financial institutions must face in their daily operations. Being exposed to interest rate risk could be prove fatal as no one can control its movement and business participants can only act as a price taker. The movement of interest rate can affect the firm’s profit in terms of its interest income and expense as a potential decrease in income can result from an unfavorable movement of interest. Due to its importance, the research will elaborate the effect of interest rate movements to the firm’s income and expense. Asset Liability management in terms of sensitivity gap and duration gap analysis will be applied to analyze the firm’s exposure to interest rate risk and derivatives contract, in this case, a future and option contract will be used to mitigate the exposure. The research will be using PT Bank Danamon Indonesia Tbk 5 year financial statements. Throughout the research, a simulation analysis of interest rate movement (increase or decrease) will be conducted and its effect to the firm’s net interest income and net worth can be seen.

Item Type:	Thesis (Bachelor)
Subjects:	H Social Sciences > HG Finance > HG1501-3550 Banking H Social Sciences > HG Finance > HG4001-4285 Finance management. Business finance.
Divisions:	Faculty of Business Administration and Communication > Department of Business Administration
Depositing User:	Astuti Kusumaningrum
Date Deposited:	02 Nov 2020 15:37
Last Modified:	02 Nov 2020 15:37
URI:	http://repository.sgu.ac.id/id/eprint/983

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