PENGUKURAN RISIKO ASET TUNGGAL DAN PORTOFOLIO SAHAM LQ45 DENGAN VALUE AT RISK METODE SIMULASI MONTE CARLO

• المؤلفون الرئيسيون: , Billy Martha Hardiwansyah, SE, , Prof. Dr. Jogiyanto Hartono, M.B.A.
• التنسيق: Theses and Dissertations NonPeerReviewed
• منشور في: [Yogyakarta] : Universitas Gadjah Mada 2012
• الموضوعات: ETD
• الوصول للمادة أونلاين: https://repository.ugm.ac.id/98183/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53405
• المؤسسة: Universitas Gadjah Mada

Value at Risk (VaR) as a method of risk measurement is a part of risk management. Value at Risk is defined as the maximum loss estimation that will be obtained over a time period on normal market condition at a given confidence level. One of the methods for calculating VaR is Monte Carlo simulation. This method assume return has normal distribution. The results of this study are (1) at 95% confidence level with twenty-five replications, yielding an average value of VaR for each company LQ 45 (sign (-) indicates loss). The average VaR value is highest in PT. Bakrieland Development Tbk. of -37,796,739. The average VaR values are lowest in PT. International Nickel Indonesia Tbk. of -25,502,127. This may imply there are 95% confidence that the losses suffered by investors who will not exceed the average value of VaR for each LQ 45 company (in rupiah) in the period between January 2011 to June 2011. In other words, there is a probability of 5% of that investment losses on the LQ45 company of at least average value of VaR (in rupiah), (2) or the proportion of weight given to each asset that is equal to 40% for PT. Astra International Tbk. (ASII), 39% for PT. Bank Central Asia Tbk (BBCA), and 21% for PT. Bank Mandiri Tbk (BMRI), (3) if the amount of investment in stocks ASII, BBCA and BMRI is Rp.1.000.000.000, 00, at 95% confidence level with twenty-five replications, yielding an average value of VaR for -23,749,628 (the sign (-) indicates loss). This may imply there are 95% confidence that the losses suffered by investors who would not exceed Rp. 23,749,628.00 within one day after the date of July 1, 2011 or in other words can be said there is a probability of 5% of that investment losses on a portfolio consisting of stocks ASII, BBCA, and BMRI Rp. 23,749,628.00 or more. Selection of the confidence interval and times period in measuring VaR is extremely important because it can describe how much the investor is capable to take the risk.