PREMIUM RISIKO SISTEMATIS INVESTASI JALAN TOL KUNCIRAN-CENGKARENG BERBASIS MODEL STOKASTIK MENGGUNAKAN CAPITAL ASSET PRICING MODEL

Abstract

The decision for investing in toll road industry requires an acurate feasibility study, because this invesment
involves high capical outlays, long term pay-back period, and vulnerability to risk and uncertainty. This study
is conducted using stochastic method which is able to accomodate uncertain variables for calculating Internal
Rate of Return. Those variables are traffic increment rate, inflation rate, and loan interest rate. To obtain a
risk premium used as reference for project feasibility, the Capical Asset Pricing Model (CAPM), was
selected to be utilized in this study. For this case study, it is found that premium risk is 1,35%, consisting of
premium risk for traffic increment rate 0,88%, inflation rate 0,33%, and loan interest rate 0,14%.

Key words: premium risk, Capital Asset Pricing Model, toll road investment, and stochastic method.