MGMT52046 ANALISIS INSTRUMEN KEUANGAN

Course Sylabus
About the Course
DESKRIPSI DAN TUJUAN

Mata ajar Manajemen Investasi telah memberikan konsep dasar yang

diperlukan dalam melakukan penilaian instrumen keuangan dengan
menekankan pada aspek portfolio. Mata ajar ini akan lebih mendalami
valuasi saham, pendapatan tetap dan derivatif.
Melalui mata ajar ini diharapkan mahasiswa dapat:
1. Menggunakan metode serta informasi yang diperlukan untuk
memperkirakan nilai intrinsik;
2. Mengaplikasikan berbagai model penilaian saham untuk
memperkirakan nilai intrinsik;
3. Mengetahui aspek perilaku manusia dalam melakukan investasi;
4. Mengenali dan mengetahui cara valuasi derivatives products seperti
swaps, and options serta lindung nilai menggunakan produk-produk
tersebut;
5. Mengetahui risiko suku bunga dari sekuritas pendapatan tetap dan
aplikasi lindung nilai terhadap risiko tersebut;
6. Mengetahui term structure models dan pemanfaatannya dalam
valuasi instrumen sekuritas pendapatan tetap dan derivatif-nya;
7. Mengenali dan mengetahui cara valuasi sekuritas pendapatan tetap
hibrida seperti antara lain: callable bonds, convertible bonds,
mortgage-backed securities, asset-backed securities dan
collateralized debt obligation maupun option terhadap bonds
seperti caps & floors dan swaption.

MATA AJAR PRASYARAT

Sebelum mengikuti mata ajar ini, peserta harus sudah pernah

mengikuti mata ajar Manajemen Investasi.

METODOLOGI PENGAJARAN

Agar peserta dapat mengikuti proses pembelajaran sesuai dengan

jadual yang telah ditentukan, peserta ajar diwajibkan membaca bahanbahan ajar sebelum dimulai.
Mata ajar ini dirancang untuk mengkombinasikan konsep analisis
instrumen keuangan dan aplikasi praktisnya di dunia nyata. Untuk itu
akan diberikan berbagai tugas untuk meningkatkan pemahaman dan
ketrampilan peserta atas berbagai konsep yang diberikan.

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TUGAS INDIVIDU/KELOMPOK
Tugas individu/kelompok akan diberikan oleh fasilitator mata ajar
dalam bentuk pekerjaan rumah dan tugas-tugas lain yang relevan.
Setiap saat fasilitator dapat meminta individu/kelompok untuk
mempresentasikan tugas yang diberikan.

PLAGIARISM

Plagiarism often results from careless note-taking from other sources

during writing process, with intentionally unwilling, or unintentionally
forget, to put references around students original words.
PLAGIARISM IS DEFINED AS:
Using someone elses words or idea without proper
documentation;
Copying some portion of your text from another source without
proper recognition;
Borrowing another persons specific ideas without documenting
the source;
Turning in a paper written by or copying from someone else, from
service business, or from a World Wide Web Site (reproductions
of such essays or papers).
MAINTAINING INTELLECTUAL INTEGRITY:
In the learning and writing processes, it is important that students
learn how to work with sources without plagiarizing, either
intentionally or accidentally. Intellectual endeavor emphasizes
sharing knowledge and information for advancing knowledge.
Students need to develop autonomous thinking to reach their
opinion and conclusions. To encourage that practice, students can
read, synthesize and write about other peoples work. However,
students are obligated to give reference on these texts whenever
they quote them directly, paraphrase the authors point or points,
or use the authors ideas to help clarify, sustain, support, or
organize their own ideas.
Using other sources for a paper, students must document ideas or
words derived from them both by listing the sources, both in a
bibliography at the end of the paper and by citing sources in the
main text itself.
To cite a source is to make clear to the reader 1) who originated
the idea or quotation that you have used; and 2) where it can be
found. This then allows the reader to do further research or check
your evidence.

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Sanction. A practice of plagiarism is considered a serious offense and

major infringement of academic values which is subject to academic
sanctions, on which the lecturer shall give the paper a grade at the
most 50, unless the Management prefers other sanction.

BAHAN BACAAN

BUKU WAJIB DAN REFERENSI

Aitken, M, C. Comerton-Forde, How Should Liquidity be
Measured, Pacific Basin Finace Journal, 2003 (AC).
Damodaran, A., Investment Valuation: Tools and Techniques for
Determining the Value of Any Asset, 2th edition, John Wiley,
2002 (D).
Damodaran, A., The Dark Side of Valuation, Pearson Education,
2010 (D-DSV).
Fabozzi, Frank J., Bond Markets, Analysis and Strategies, 7th
edition, Prentice Hall, 2010 (FF).
Hull, John C., Options, Futures, & Other Derivatives, 7th edition,
Prentice Hall, 2009 (Hull).
Shefrin, Hersh, Behavioral Corporate Finance, McGraw Hill,
2007 (HS).
Tuckman, Bruce, Fixed Income Securities, Tools for Todays
Markets, 2nd Edition, Wiley-Finance, 2002 (BT).
Wilson, B., Valuing Zero-Income Stocks: A practical approach,
AIMR, 2000. (BW)

TATA CARA PENILAIAN

TUGAS INDIVIDU/KELOMPOK: 20% (10% UNTUK TIAP SETENGAH

SEMESTER)

PARTISIPASI/DISKUSI KELAS (LISAN): 20% (10% UNTUK TIAP SETENGAH

SEMESTER)

UJIAN TENGAH : 30%

UJIAN AKHIR : 30%

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JADWAL DAN MATERI KULIAH

PERTEMUAN TOPIK BAHASAN

1
Dasar-dasar valuasi saham:
Introduction of valuation, discount
rates: cost of equity
2
Dasar-dasar valuasi saham:
Growth and free cash-flow
3

4
5
6
7

BAHAN BACAAN
D Ch.7, 8, 10.

D Ch.9, 10, 11

Model penilaian saham

- Dividend Discount Model
(DDM)
- Model Free Cash Flow to Equity
(FCFE)
- Model Free Cash Flow to The
Firm (FCFF)
Model Penilaian Saham
- Model Relative Valuation
Model Penilaian Saham
- Valuing Zero Income Stock

D Ch. 13, 14, 15.

Tambahan D Ch. 12, 16.

Liquidity, Behavioral Finance

Swaps

AC & HS Ch. 1, 2
Hull Ch. 7, FF Ch. 29

D Ch. 17 & D-DSV Ch. 8

BW

MID TERM EXAM

8

Binomial Trees
The Black-Scholes-Merton Model

Options on Stock Indices, Currencies,

and Futures; The Greeks
Factors affecting bond prices;
Interest rate models;
Valuation models
Interest Rate Option
Analysis of Convertible Bonds
Mortgage-Backed Securities

10
11
12
13
14

Asset-Backed Securities
Collateralized Debt Obligation

Hull Ch. 11
Hull Ch. 13
Hull Ch. 15, 16, 17
FF Ch. 3, 4, 5
FF Ch. 17, 18
FF Ch. 28
FF Ch. 20
FF Ch. 10, 12, 14
FF Ch. 15
FF Ch. 16

FINAL EXAM

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