Judul: Determination of Value at Risk and Tail Value at Risk of Alpha Power Pareto Distribution
Abstrak: Risiko didefinisikan sebagai kemungkinan kerugian. Perlu dilakukan upaya untuk menghindari kerugian seperti penghitungan risiko. Pada pemodelan risiko terdapat dua ukuran risiko yaitu Value at Risk (VaR) dan Tail Value at Risk (TVaR). Pada penelitian ini, risiko dimodelkan dengan sebaran Pareto dan sebaran Alpha Power Pareto (APP). Pada dasarnya, sebaran APP merupakan sebaran baru dengan menambahkan sebuah parameter pada sebaran Pareto menggunakan metode Alpha Power Transformation. Data risiko yang digunakan dibangkitkan dari sebaran APP dengan metode transformasi invers. Parameter-parameter sebaran APP diduga menggunakan metode maximum likelihood yang dibantu dengan metode Newton-Raphson untuk mendapatkan nilai-nilai dugaannya. Dilakukan pendugaan nilai VaR dan TVaR untuk sebaran APP dengan simulasi dan secara analitik. Nilai dugaan VaR dan TVaR hasil simulasi mendekati hasil analitik., The risk is defined as the possibility of loss. Efforts need to avoid losses such as risk calculation. There are two risk measures on the risk modeling, namely the Value at Risk (VaR) and the Tail Value at Risk (TVaR). In this paper, risks are modeled with Pareto and Alpha Power Pareto (APP) distribution. Basically, the APP distribution is new distribution by adding a parameter to the Pareto distribution using the Alpha Power Transformation method. The risk data were generated from the APP distribution with the inverse transformation method. The parameters of APP distribution are estimated using the maximum likelihood method helped by the Newton-Raphson method to obtain the estimated values. The VaR and TVaR values for APP distribution were estimated by simulation and analytically. The estimated values of VaR and TVaR obtained using the simulation are close to those obtained analytically.
Keyword: Alpha Power Pareto distribution, maximum likelihood, Pareto distribution, Tail Value at Risk, Value at Risk

Judul: Pembandingan  Metode Copula dan D-Vine Copula dalam Estimasi Tail Value at Risk pada  Komoditas Pertanian
Abstrak: Risiko adalah salah satu hal yang perlu dihitung investor untuk mengetahui perkiraan kerugian yang harus ditanggung. Salah satu alat ukur yang digunakan untuk menghitung risiko portofolio adalah Value at Risk (VaR). Namun, VaR memiliki kekurangan dalam hal subadditivity sehingga muncul konsep Tail Value at Risk (TVaR) yang memenuhi sifat koherensi ukuran risiko. Dalam penelitian ini, dilakukan penghitungan nilai VaR dan TVaR menggunakan data imbal hasil Crude Palm Oil (CPO), minyak kelapa, dan olein. Model ARMA-GARCH digunakan untuk mengatasi autokorelasi dan heteroskedastisitas pada komoditas-komoditas tersebut. VaR dan TVaR diukur dari portofolio model copula dan D-Vine copula. Fungsi copula yang terpilih yaitu copula-t dan copula Gauss. Setelah didapat sebaran bersama kemudian dilakukan pendugaan nilai VaR dan TVaR dengan Simulasi Monte Carlo yang selanjutnya digunakan backtesting untuk menguji kevalidan nilainya. Dengan memberikan bobot yang sama, pada tingkat kepercayaan 99% dengan copula diperoleh nilai estimasi TVaR sebesar 7.952167% dan dengan D-Vine copula diperoleh nilai estimasi TVaR sebesar 7.050056%., Risk is one of the things that investors need to calculate to find out the estimated losses that must be borne. One of the measuring tools used to calculate portfolio risk is Value at Risk (VaR). However, VaR has deficiency in subadditivity property, so the concept of Tail Value at Risk (TVaR) appears which satisfies the coherence property of risk measures. In this study, the VaR and TVaR values were calculated using the return data of Crude Palm Oil (CPO), coconut oil, and olein. The ARMA-GARCH model is used to overcome autocorrelation and heteroscedasticity effects in these commodities. VaR and TVaR were measured from the copula and D-Vine copula model portfolios. The selected copula functions are t-copula and Gaussian copula. After getting the joint distribution, VaR and TVaR values were estimated with Monte Carlo Simulation and then backtesting is used to test the validity of the values. By giving the same weight to each commodity, at a confidence level of 99% when using copula, the estimated TVaR value is 7.952167%, and using the D-Vine copula the TVaR estimate is 7.500056%.
Keyword: Tail Value at Risk, ARMA, GARCH, Copula, Drawable Vine Copula, Backtesting

Judul: Elektrodeposisi Film Tipis Semikonduktor Cu2ZnSnS4 (CZTS) pada Substrat Kaca ITO
Abstrak: Semiconductor Cu2ZnSnS4 (CZTS) thin film that can be used as absorber layers on solar cell module was made via electrodeposition method. CZTS thin film was electrodeposited on the surface of a silicate glass coated with a thin layer of indium tin oxide (ITO). Deposition process was done using potentiostatic mode at room temperature with a potential of 1.05 V for 30, 45, and 60 minutes, followed with annealing the film at 2 different temperatures, 500 ºC using furnace and 180 ºC using hot plate, both treatments for 45 minutes in N2/H2S atmosphere. The X-ray difractograms were analyzed using Match 2 program and showed that the CZTS thin films had kesterit crystalline structure, with a low percentage of CZTS phase. The thin film also contained secondary phases such as Cu2S, ZnS, and SnS. The obtained CZTS thin films had a thickness between 1.039 and 1.676 μm. Absorption study showed that the band gap energy of CZTS thin films which was annealed using furnace ranged from 1.50 to 1.52 eV, whereas that annealed using the hot plate was not observed. The band gap energy value showed that CZTS thin films can be used as sunlight absorber layers on solar cell. The formation of CZTS crystal film on this investigation was effectively performed using furnace annealing process at a temperature of 500 ºC with deposition time of 45 minutes.
Keyword: Thin film, Electrodeposition, Cu2ZnSnS4