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Implementation of Value at Risk In LQ 45 Stocks in Indonesia

Value at Risk is one measure used to measure the maximum potential loss that will be experienced in the period of a day, five days and twenty days. In this study, the methodology used is Variance Covariance models and Historical models. Object of research include 6 shares for 3 consecutive years (20...

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Main Author: Dr.Firman Pribadi, MSi, Diah Novitasari
Format: Makalah Seminar
Language: Bahasa Inggris
Published: NIGRC 2016
Subjects:
Value at risk, Variance covariance, Historical, LQ 45, Back test, Kupiec
Online Access: http://oaipmh-jogjalib.umy.ac.idkatalog.php?opo=lihatDetilKatalog&id=64190
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id oai:lib.umy.ac.id:64190
recordtype oai_dc
spelling oai:lib.umy.ac.id:641902021-06-16T13:08:05ZImplementation of Value at Risk In LQ 45 Stocks in IndonesiaDr.Firman Pribadi, MSi, Diah NovitasariValue at risk, Variance covariance, Historical, LQ 45, Back test, KupiecValue at Risk is one measure used to measure the maximum potential loss that will be experienced in the period of a day, five days and twenty days. In this study, the methodology used is Variance Covariance models and Historical models. Object of research include 6 shares for 3 consecutive years (2012 to 2014) was recorded on LQ 45. Potential losses are measured on a confident level of 95%. And this validity model was tested by conducting back testing with Kupiec Test, where the potential maximum loss calculation results compared with a loss actually occurred. Back test measurement results indicate that the potential loss of Variance Covariance model is smaller than the Historical models, but both models are declared valid in measuring the potential maximum loss of LQ 45.NIGRC2016Makalah Seminar-Bahasa Inggrishttp://oaipmh-jogjalib.umy.ac.idkatalog.php?opo=lihatDetilKatalog&id=64190
institution Universitas Muhammadiyah Yogyakarta
collection Perpustakaan Yogyakarta
language Bahasa Inggris
topic Value at risk, Variance covariance, Historical, LQ 45, Back test, Kupiec
spellingShingle Value at risk, Variance covariance, Historical, LQ 45, Back test, Kupiec
Dr.Firman Pribadi, MSi, Diah Novitasari
Implementation of Value at Risk In LQ 45 Stocks in Indonesia
description Value at Risk is one measure used to measure the maximum potential loss that will be experienced in the period of a day, five days and twenty days. In this study, the methodology used is Variance Covariance models and Historical models. Object of research include 6 shares for 3 consecutive years (2012 to 2014) was recorded on LQ 45. Potential losses are measured on a confident level of 95%. And this validity model was tested by conducting back testing with Kupiec Test, where the potential maximum loss calculation results compared with a loss actually occurred. Back test measurement results indicate that the potential loss of Variance Covariance model is smaller than the Historical models, but both models are declared valid in measuring the potential maximum loss of LQ 45.
format Makalah Seminar
author Dr.Firman Pribadi, MSi, Diah Novitasari
author_sort Dr.Firman Pribadi, MSi, Diah Novitasari
title Implementation of Value at Risk In LQ 45 Stocks in Indonesia
title_short Implementation of Value at Risk In LQ 45 Stocks in Indonesia
title_full Implementation of Value at Risk In LQ 45 Stocks in Indonesia
title_fullStr Implementation of Value at Risk In LQ 45 Stocks in Indonesia
title_full_unstemmed Implementation of Value at Risk In LQ 45 Stocks in Indonesia
title_sort implementation of value at risk in lq 45 stocks in indonesia
publisher NIGRC
publishDate 2016
url http://oaipmh-jogjalib.umy.ac.idkatalog.php?opo=lihatDetilKatalog&id=64190
isbn -
_version_ 1702751110635192320
score 14.79448

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