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PERHITUNGAN VALUE AT RISK (VaR) DENGAN SIMULASI MONTE CARLO (STUDI KASUS SAHAM PT. XL ACIATA.Tbk)

Unisda Journal of Mathematics and Computer Science (UJMC)

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Field Value
 
ISSN 2579-907X
2460-3333
 
Authentication Code dc
 
Title Statement PERHITUNGAN VALUE AT RISK (VaR) DENGAN SIMULASI MONTE CARLO (STUDI KASUS SAHAM PT. XL ACIATA.Tbk)
 
Personal Name Rohmaniah, Siti Alfiatur
Universitas Islam Darul 'Ulum Lamongan
 
Summary, etc. Value at Risk (VaR) can be simply defined as an estimate of the maximum potential loss under the normal market conditions at a specific time period and with the specific confidence level. For the calculation can be done by various methods including VaR parametric estimates. VaR is calculated by simulating the properties of the risk factors and the value of assets by raising the sequence of random asset prices at the T time, given the value of asset prices sample with time t where T> t.
 
Publication, Distribution, Etc. Mathematics Department of Mathematics and Natural Sciences Unisda Lamongan
 
Electronic Location and Access application/pdf
http://e-jurnal.unisda.ac.id/index.php/ujmc/article/view/459
 
Data Source Entry Unisda Journal of Mathematics and Computer Science (UJMC); Vol 3 No 1 (2017): Unisda Journal of Mathematics and Computer Science
 
Language Note eng
 
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