Hajj Fund Investment Risk Analysis: A Case Study at the Hajj Financial Management Agency (BPKH) in Indonesia

Abstract

This study aims to analyze the investment risks of hajj funds managed by the Hajj Financial Management Agency (BPKH). The investment of hajj funds is an integral part of fund management that significantly contributes to the cost of organizing hajj pilgrimages. Using both quantitative and qualitative approaches, this study identifies key risk factors, including market, credit, operational, and liquidity risks, and their impact on the stability of hajj funds. The analysis is conducted using the Value at Risk (VaR) model and multiple linear regression, along with in-depth interviews with experts and stakeholders. The results indicate that market and credit risks are the primary risks affecting the stability of hajj funds. Additionally, the findings highlight the need for a more comprehensive diversification strategy and enhanced internal risk management by BPKH. The recommendations provided aim to assist BPKH in maximizing investment benefits and minimizing potential losses.