Perhitungan opsi untuk hedging nilai tukar: Evaluasi value at Risk, Sharpe ratio, serta uji backtesting dengan kupiec dan christoffersen test

Humairo, Rd Ilfah Syarifah (2025) Perhitungan opsi untuk hedging nilai tukar: Evaluasi value at Risk, Sharpe ratio, serta uji backtesting dengan kupiec dan christoffersen test. Sarjana thesis, UIN Sunan Gunung Djati Bandung.

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Abstract

Exchange rate fluctuations represent one of the primary market risks, particularly for busi- nesses and investors engaged in international transactions. Such volatility can lead to cash flow uncertainty, decreased investment value, and complications in financial decision- making. One strategy to mitigate this risk is the use of option contracts as hedging instru- ments. This study aims to evaluate the extent to which options can reduce exchange rate risk using the Value at Risk (VaR) and Sharpe Ratio approaches, as well as to assess the accuracy of risk models through backtesting methods using the Kupiec Test and Christof- fersen Test. The data used consist of monthly closing prices of USD/IDR and MYR/IDR exchange rates from January 2022 to January 2025, obtained from the Investing.com web- site. Option pricing was calculated using the Garman-Kohlhagen model, while VaR es- timation was performed using both the variance-covariance and historical methods. The results indicate that the accuracy of the risk models tested varies. Some models produced estimations that aligned with the actual data according to the Kupiec and Christoffersen tests, while others failed to meet statistical accuracy criteria. Therefore, the effective- ness of options as hedging instruments largely depends on model parameters, the type of option used, and the characteristics of the historical data.

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