Darman Saputra, S.E., M.Sc., - and Nizwan Zukhri, SE., MM., - and Darus Altin, - and Ari Agung Nugroho, - and Ryand Daddy Setiawan, - and Tiara Fitari, S.E., M.B.A, - and Mustofa Thohari, - (2023) Value at risk anysis using historical method and monte carlo simulation in banking and mining sector companies. International Journal of Apllied Management and Business, 1 (1). pp. 26-31. ISSN 2961-7367
Full text not available from this repository.Abstract
Purpose –Investments in the capital market must be able to understand the risks that exist, because investments that will be faced in the future contain uncertainty. The growth of trading activity and the increasingly uncertain market makes market participants feel the need to develop more accurate and reliable risk measurement techniques. One of the risk measurement techniques is Value at Risk VaR).Methodology/approach –Value at Risk (VaR) is a method of calculating market risk to determine the maximum risk of loss that can occur in a portfolio, both single and multi-instrument, especially the level of confidence, during a certain holding period, and under normal conditions. market conditions. This study uses secondary data in the form of stocks listed on the Indonesia Stock Exchange, the samples obtained are 2 companies. Processing data in this study using Microsoft Excel program for measuring Value at Risk in portfolios using Monte Carlo simulation.Findings –The results of the study show that a greater return will provide a greater level of risk, judging from the return and VaR values of each portfolio. Where portfolio one has a greater return than the second portfolio, and portfolio one also has a greater risk level than the second portfolio. Investment in the capital market requires a good risk calculation in buying or selling shares, so the purpose of this study is to help investors take steps or policies that are in accordance with the company's conditions.. Novelty/value –The results in this study illustrate that the purchase of BBRI shares with the banking sub-sector and ANTM's shares in the Mining Company sub-sector has its respective risks and benefits. Therefore, the VaR Monte Carlo simulation method can describe eachstock
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Value At Risk; Historical; Monte Carlo; BBRI; ANTAM |
| Subjects: | H Ilmu Sosial > HB Teori Ekonomi H Ilmu Sosial > HG Keuangan |
| Divisions: | KARYA TULIS DOSEN |
| Depositing User: | UPT Perpustakaan UBB |
| Date Deposited: | 03 Feb 2025 02:15 |
| Last Modified: | 03 Feb 2025 02:15 |
| URI: | https://repository.ubb.ac.id/id/eprint/10700 |
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