ESTIMASI PENYESUAIAN LIKUIDITAS PADA VALUE AT RISK DARI DATA HISTORIS
Investment always has a risk. Volatility of return is connected with risk. investor required risk measurement to managing risk. Value at Risk (VAR) is a risk measurement techniques and considered as a standard method of measuring risk. In determaining how big the risk target, Investor use VaR. In po...
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2011
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| 在線閱讀: | https://repository.ugm.ac.id/97384/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=54017 |
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| 總結: | Investment always has a risk. Volatility of return is connected with risk.
investor required risk measurement to managing risk. Value at Risk (VAR) is a
risk measurement techniques and considered as a standard method of measuring
risk. In determaining how big the risk target, Investor use VaR. In portfolio, VaR
is defined as the estimated of maximum loss will be faced by the portfolio at a
spesific time period within a certain confidence level. There are three main
methods to calculate the VaR i.e. variance-covariance method, historical
simulation method and monte carlo simulation method.
Capital market are not one hundred percent liquid, but VaR model is usually
asumsed to be liquid market. Whereas market liquidity should be considered in
capital market due to be role optimally in supporting economic growh, the market
must be liquid. There is the liquidity risk in the market, if liquidity risk has joined
VaR models then VaR increases. Incorporation of likuidity risk into VaR model is
called Liquidity adjuated Value at Risk (LVaR). Last chapter will be give
empirical analysis of VaR and LVaR calculation on two portfolio wich separated
besed on liquidity risk value for comparing the risk level from less liquidity
portfolio and high liqyidity portfolio. |
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