Objective – Sukuk is one of financial instrument that is compliant with Islamic Sharia law. Sukuk is popularly being used as a funding mechanism by the governments and corporations throughout the Muslim world and other countries. The aim of this study is to investigate risk structure of sukuk ijarah and mudharabah in Indonesia.                  

Design/methodology – This study using Value at Risk (VaR) framework with an independent model analysis of t-test samples. VaR is a method of assessing the risk that uses standard statistical techniques routinely used in other technical fields. Formally, VaR is the maximum loss over a target horizon such that there is a low, pre-specified probability that the actual loss will be larger. Samples of this study were 21 companies that issued sukuk ijarah and mudharabah listed on the Indonesia Stock Exchange.

Results – The results indicate that sukuk ijarah have a lower level of risk than sukuk mudharabah. By identifying the sukuk risk, it should enable stakeholders to address related funding issues.

Keywords Islamic Finance, Sukuk, Ijarah, Mudharabah, Value At Risk

Al Zubi, H. and Maghyar, A (2006), Relative Risk Performance of Islamic Finance: A New Guide to

Less Risky Investments, International Journal of Theoretical and Applied Finance, 10 (2):

-249.

Ayub, Muhammad. 2007. Understanding Islamic Finance . Chichester: Willey Finance.

Datuk, Bahril. New Dimension Sukuk Funding 2014. Government for Economic Growth. Journal of

Accounting and Business Research . Vol 14 (1): 114-115).

Fabozzi, Frank J. 2000. Investment Management . Book Two, First Edition. Jakarta: Four Salemba

Pearson Education Asia Pte. Ltd. Prentice-Hall, Inc.

Fatwa-Fatwa DSN-MUI. 2013. Yogyakarta: Armas Duta Jaya

Firdaus, Muhammad, et al. Briefcase 2005. Book Sharia Professional Education: Basic Concepts of

Islamic Bonds . Jakarata: Renaissance.

Ghozali, Imam. 2011. Applications Multivariate Analysis with SPSS Program . Semarang:

Diponegoro Publisher Agency.

Ghufron, Sofniyah. 2005. Financial and Investment Sharia . Jakarta: Renaissance.

Hanafi, Mamduh. 2009. Risk Management . Second Edition. Yogyakarta: College of YKPN

management.

Huda, Nurul & Mustafa Edwin N. 2007. Investment in Islamic Capital Markets . Jakarta: Kencana

Prenada Media Group.

Husnan, Suad. 2003. Fundamentals of Securities Portfolio Theory and Analysis . Yogyakarta: UPP

AMP YKPN.

Indriantoro, Nur and Bambang Supomo. 2002 Business Research Methodology: For Business &

Management Research . Yogyakarta: BPFE.

Kamil, WAR, 2008. Introduction to Sukuk: in Malaysian Sukuk Market Handbook . Kuala Lumpur:

RAM Rating Services Berhad.

Nurhayati, Sri & Wasilah. 2014. Accounting for Syariah Indonesia . Third Edition. Jakarta: Four

Salemba.

Rustam, Bambang Rianto. Manajmen 2013. Risk: Islamic Banking in Indonesia . Jakarta: Four

Salemba.

Rahardjo, Sapto. 2003. Free Investment Bonds . Jakarta: Gramedia Pustaka Utama.

Sekaran, Uma. 2006. Research Methods for Business: penellitian Methods for Business. 1. The

fourth edition of the book. Translation Kwan Men Yon. Jakarta: Four Salemba.

Sugiyono. 2009. Business Research Methods. Bandung: Alfabeta.

Tandelilin, Eduardus. 2001. Analysis of invetasi and manajmen Portfolio. First Edition. Yogyakarta:

First Edition, BPFE.

Usmani, Mohammad Taqi. 2000a. Introduction to Islamic Finance . Karachi: Idaratul Maarif.

Yahya, Rizal., Aji Erland Martawireja, and Ahim Abdurahim. 2014. Accounting for Islamic

Banking. Second Edition. Jakarta: Four Salemba.