Record Details

THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES

Business and Finance Journal

View Archive Info
 
 
Field Value
 
Title THE CALCULATION OF VALUE AT RISK USING VARIANCE COVARIANCE IN LQ-45 COMPANIES
 
Creator Sumaji, Yoseva Maria Pujirahayu
 
Subject Value At Risk
Variance-covariance
Back testing
 
Description The Government of Indonesia is trying to find some solutions to Indonesia's economic problems. One of the problems of Indonesia's economic growth is the lack of capital and correct calculation of capital risks, especially in stock investments can reduce the occurrence of various capital problems in accordance with the criteria required and obtained by 9 companies analyzed. The analytical method used in calculating market risk in stock investments in this study is variance covariance value at risk. This method is a risk measurement through the highest estimated losses over a period of time and assumed confidence levels. To prove the level of trust of the variance covariance value at risk method, analysis was conducted using back testing method. The results of this study show that the method of calculating variance covariance value at risk is the right and accurate method to calculate market risk from the company's stock.
 
Publisher UNUSA Press
 
Date 2021-11-02
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal2.unusa.ac.id/index.php/BFJ/article/view/2156
10.33086/bfj.v6i2.2156
 
Source Business and Finance Journal; Vol. 6 No. 2 (2021): Business and Finance Journal
Jurnal Bisnis dan Keuangan; Vol 6 No 2 (2021): Business and Finance Journal
2477-393X
2527-4872
10.33086/bfj.v6i2
 
Language eng
 
Relation https://journal2.unusa.ac.id/index.php/BFJ/article/view/2156/1518
 
Rights Copyright (c) 1970 Yoseva Sumaji
https://creativecommons.org/licenses/by-sa/4.0